Inference on Nonstationary Time Series with Moving Mean
Download full text from publisher
Other versions of this item:
- Gao, Jiti & Robinson, Peter M., 2016. "Inference On Nonstationary Time Series With Moving Mean," Econometric Theory, Cambridge University Press, vol. 32(02), pages 431-457, April.
References listed on IDEAS
- Roussas, George G. & Tran, Lanh T. & Ioannides, D. A., 1992. "Fixed design regression for time series: Asymptotic normality," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 262-291, February.
- Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, pages 503-522.
- Deo, R. S., 1997. "Nonparametric regression with long-memory errors," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 89-94, April.
- Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 291-311, June.
- Robinson, Peter M., 2012. "Nonparametric trending regression with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 169(1), pages 4-14.
More about this item
Keywordsfractional time series; fixed design nonparametric regression; non-stationary time series; unit root tests.;
- J1 - Labor and Demographic Economics - - Demographic Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-06 (All new papers)
- NEP-ECM-2013-09-06 (Econometrics)
- NEP-ETS-2013-09-06 (Econometric Time Series)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2013-15. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Xibin Zhang). General contact details of provider: http://edirc.repec.org/data/dxmonau.html .