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Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression

Li, Degui; Phillips, Peter C. B.; Gao, Jiti - In: Journal of econometrics 215 (2020) 2, pp. 607-632

Persistent link: https://www.econbiz.de/10012439572

Functional cointegration : definition and nonparametric estimation

Banerjee, Anurag Narayan; Pitarakis, Jean-Yves - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 507-520

Persistent link: https://www.econbiz.de/10010461196

A smoothed : distribution form of Nadaraya - Watson estimation

Bailey, Ralph W.; Addison, John T. - 2010

Persistent link: https://www.econbiz.de/10009374192

Identification and estimation of the environmental Kuznets curve : pairwise differencing to deal with nonlinearity and nonstationarity

Sen, Suphi; Melenberg, Bertrand; Vollebergh, Herman R. J. - 2016

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …

Persistent link: https://www.econbiz.de/10011447524

Three essays on the nonparametric estimation of nonlinear cointegrating regressions

Duffy, James A. - 2014

Persistent link: https://www.econbiz.de/10012507702

Nonparametric estimation and testing for time-varying VAR models

Gao, Jiti; Peng, Bin; Yan, Yayi - 2022

Persistent link: https://www.econbiz.de/10013494327

Nonparametric time varying IV-SVARs : estimation and inference

Braun, Robin; Kapetanios, George; Marcellino, Massimiliano - 2024

Persistent link: https://www.econbiz.de/10015271384

A nonparametric dynamic network via multivariate quantile autoregressions

Cai, Zongwu; Liu, Xiyuan - 2022

Persistent link: https://www.econbiz.de/10013283992

Inference on stochastic time-varying coefficient models

Giraitis, Liudas; Kapetanios, George; Yates, Anthony - In: Journal of econometrics 179 (2014) 1, pp. 46-65

Persistent link: https://www.econbiz.de/10010258276

Nonparametric estimation of a periodic sequence in the presence of a smooth trend

Vogt, Michael; Linton, Oliver - 2012

In this paper, we study a nonparametric regression model including a periodic component, a smooth trend function, and a stochastic error term. We propose a procedure to estimate the unknown period and the function values of the periodic component as well as the nonparametric trend function. The...

Persistent link: https://www.econbiz.de/10009614392