Showing 1 - 8 of 8
This paper proposes two simple and new specification tests based on the use of an orthogonal series for a considerable class of cointegrated time series models with endogeneity and nonsta-tionarity. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is...
Persistent link: https://www.econbiz.de/10010958939
In this paper, we consider a semiparametric single index panel data mode with cross-sectional dependence, high-dimensionality and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence...
Persistent link: https://www.econbiz.de/10010958943
This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...
Persistent link: https://www.econbiz.de/10010958948
Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach...
Persistent link: https://www.econbiz.de/10010958956
In this paper, we consider a partially linear panel data model with cross-sectional dependence and non-stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then...
Persistent link: https://www.econbiz.de/10011262825
In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several expansions and rates of convergence are...
Persistent link: https://www.econbiz.de/10009650287
Two types of Brownian motion functionals, both time-homogeneous and time-inhomogeneous, are expanded in terms of orthonormal bases in respective Hilbert spaces. Meanwhile, different time horizons are treated from the applicability point of view. Moreover, the degrees of approximation of...
Persistent link: https://www.econbiz.de/10009318811
Model selection in nonparametric and semiparametric regression is of both theoretical and practical interest. Gao and Tong (2004) proposed a semiparametric leave–more–out cross–validation selection procedure for the choice of both the parametric and nonparametric regressors in a nonlinear...
Persistent link: https://www.econbiz.de/10005789906