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Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Li, Degui - 2013

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...

Persistent link: https://www.econbiz.de/10013072455

Functional Coefficient Nonstationary Regression

Gao, Jiti - 2013

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...

Persistent link: https://www.econbiz.de/10013075943

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C. B. - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

Persistent link: https://www.econbiz.de/10013075944

Semiparametric Estimation in Time Series of Simultaneous Equations

Gao, Jiti - 2010

A system of vector semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are strictly exogenous and represent...

Persistent link: https://www.econbiz.de/10013138227

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Li, Degui - 2018

This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of...

Persistent link: https://www.econbiz.de/10012932856

Evaluating Spanish pension expenditure under alternativa reform scenario

Jiménez-Martín, Sergi; Boldrin, Michele - Department of Economics and Business, Universitat … - 2002

expenditure for public pensions in Spain. Our quantitative findings can be summarized in two sentences. For all the reforms …

Persistent link: https://www.econbiz.de/10005772105

A sequential model for older workers’ labor transitions after a health shock

Jiménez-Martín, Sergi; Labeaga, José M.; Prieto, … - Department of Economics and Business, Universitat … - 2005

In this work we study older workers’ (50—64) labor force transitions after a health/disability shock. We find that the probability of keeping working decreases with both age and severity of the shock. Moreover, we find strong interactions between age and severity in the 50—64 age range and...

Persistent link: https://www.econbiz.de/10005772246

Retirement incentives, individual heterogeneity and labour transitions of employed and unemployed workers

García-Pérez, J. Ignacio; Jiménez-Martín, Sergi; … - Department of Economics and Business, Universitat … - 2010

Spain). Second, by considering the influence of unobserved heterogeneity in the estimation of the effect of our (carefully … strong impact on labour market decisions in Spain. Unemployment regulations are shown to be particularly influential for … especially interesting instance: the reform of early retirement provisions undertaken in Spain in 2002. We use a difference …

Persistent link: https://www.econbiz.de/10008683242