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Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression

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  • Singh, Radhey S.
  • Ullah, Aman

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 1 (1985)
Issue (Month): 01 (April)
Pages: 27-52

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Handle: RePEc:cup:etheor:v:1:y:1985:i:01:p:27-52_01

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Cited by:
  1. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  2. John Knight & Fuchun Li & Mingwei Yuan, 2006. "A Semiparametric Two-Factor Term Structure Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 204-237.
  3. Baghli, M. & Cahn, C. & Fraisse, H., 2006. "Is the Inflation-Output Nexus Asymmetric in the Euro Area?," Working papers 140, Banque de France.
  4. Wu, Wei Biao & Huang, Yinxiao & Huang, Yibi, 2010. "Kernel estimation for time series: An asymptotic theory," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2412-2431, December.
  5. Eric Ghysels & Serena Ng, 1996. "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers 96s-18, CIRANO.
  6. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.

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