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Non-stationary parametric single-index predictive models : simulation and empirical studies

Zhou, Ying; Kew, Hsein; Gao, Jiti - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 349-365). 2023

Persistent link: https://www.econbiz.de/10014313764

Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration

Gao, Jiti; Phillips, Peter C.B. - Department of Econometrics and Business Statistics, … - 2013

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

Persistent link: https://www.econbiz.de/10010702338

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C. B.; Li, Degui; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence …

Persistent link: https://www.econbiz.de/10010860399

Model Specification between Parametric and Nonparametric Cointegration

Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2012

This paper considers a general model specification between a parametric co-integrating model and a nonparametric co-integrating model in a multivariate regression model, which involves a univariate integrated time series regressor and a vector of stationary time series regressors. A new and...

Persistent link: https://www.econbiz.de/10010860405

Hermite Series Estimation in Nonlinear Cointegrating Models

Cai, Biqing; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2013

This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We …

Persistent link: https://www.econbiz.de/10010860416

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

Li, Degui; Phillips, Peter C.B.; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013

cointegration models with time varying coefficients and provide sharp convergence rates in that case. For the fixed design models …

Persistent link: https://www.econbiz.de/10010817211

A New Class of Bivariate Threshold Cointegration Models

Cai, Biqing; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2015

In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a …>T</i>, which is same as linear cointegration model. The Monte Carlo simulation results suggest that the estimators perform …

Persistent link: https://www.econbiz.de/10011193729

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C.B.; Li, Degui; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013

Persistent link: https://www.econbiz.de/10010895635

Functional Coefficient Nonstationary Regression

Gao, Jiti; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 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/10010895669

A new class of bivariate threshold cointegration models

Cai, Biqing; Gao, Jiti; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 288-305

Persistent link: https://www.econbiz.de/10011704196