Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10011341927
Persistent link: https://www.econbiz.de/10011341928
This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...
Persistent link: https://www.econbiz.de/10009767261
This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....
Persistent link: https://www.econbiz.de/10009767269
Persistent link: https://www.econbiz.de/10009758677
Persistent link: https://www.econbiz.de/10003750801
Persistent link: https://www.econbiz.de/10012421767
Persistent link: https://www.econbiz.de/10012203086
Persistent link: https://www.econbiz.de/10011897392
Persistent link: https://www.econbiz.de/10014364804