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Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series

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Author Info

  • Jia Chen

    (School of Economics, University of Adelaide)

  • Jiti Gao

    ()
    (School of Economics, The University of Adelaide)

  • Degui Li

    (School of Economics, University of Adelaide)

Abstract

Estimation theory in a nonstationary environment has been very popular in recent years. Existing studies focus on nonstationarity in parametric linear, parametric nonlinear and nonparametric nonlinear models. In this paper, we consider a partially linear model and propose to estimate both alpha and g semiparametrically. We then show that the proposed estimator of alpha is still asymptotically normal with the same rate as for the case of stationary time series. We also establish the asymptotic normality for the nonparametric estimator of the function g and the uniform consistency of the nonparametric estimator. The simulated example is given to show that our theory and method work well in practice.

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File URL: http://www.economics.adelaide.edu.au/research/papers/doc/wp2009-02.pdf
File Function: First version, 2009
Download Restriction: no

Bibliographic Info

Paper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 2009-02.

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Length: 54 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:adl:wpaper:2009-02

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Phone: (618) 8303 5540
Web page: http://www.economics.adelaide.edu.au/
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Related research

Keywords: asymptotic normality; beta-null recurrent Markov chain; consistency; kernel estimator; partially linear model;

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Citations

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Cited by:
  1. Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," CREATES Research Papers 2013-29, School of Economics and Management, University of Aarhus.
  2. Honda, Toshio, 2013. "Nonparametric LAD cointegrating regression," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 150-162.
  3. Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Monash Econometrics and Business Statistics Working Papers 21/11, Monash University, Department of Econometrics and Business Statistics.
  4. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
  5. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.

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