Estimation in Semiparametric Time Series Regression
AbstractIn this paper, we consider a semiparametric time series regression model and establish a set of identi cation conditions such that the model under discussion is both identi able and estimable. We then discuss how to estimate a sequence of local alternative functions nonparametrically when the null hypothesis does not hold. An asymptotic theory is established in each case. An empirical application is also included.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 2010-27.
Length: 18 pages
Date of creation: Oct 2010
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
- NEP-ECM-2010-11-06 (Econometrics)
- NEP-ETS-2010-11-06 (Econometric Time Series)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Patrick Saart & Jiti Gao, 2012. "Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review," Monash Econometrics and Business Statistics Working Papers 21/12, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao, 2012. "Identification, Estimation and Specification in a Class of Semiparametic Time Series Models," Monash Econometrics and Business Statistics Working Papers 6/12, Monash University, Department of Econometrics and Business Statistics.
- George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song, 2013. "Domestic and outbound tourism demand in Australia: a System-of-Equations Approach," Monash Econometrics and Business Statistics Working Papers 6/13, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti, 2012. "Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models," MPRA Paper 39256, University Library of Munich, Germany, revised 14 May 2012.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dmitriy Kvasov).
If references are entirely missing, you can add them using this form.