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Nonstationary Density Estimation and Kernel Autoregression

Citations

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Cited by:

  1. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(2), pages 541-563, April.
  3. Linton, Oliver & Wang, Qiying, 2016. "Nonparametric Transformation Regression With Nonstationary Data," Econometric Theory, Cambridge University Press, vol. 32(1), pages 1-29, February.
  4. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
  5. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
  6. 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.
  7. Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015. "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
  8. Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
  9. Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
  10. Hong, Seok Young & Linton, Oliver, 2020. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
  11. Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
  12. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
  13. Peter C. B. Phillips, 2005. "Econometric Analysis of Fisher's Equation," American Journal of Economics and Sociology, Wiley Blackwell, vol. 64(1), pages 125-168, January.
  14. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
  15. Dong, Chaohua & Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2017. "Specification testing for nonlinear multivariate cointegrating regressions," Journal of Econometrics, Elsevier, vol. 200(1), pages 104-117.
  16. Phillips, Peter C.B. & Jin, Sainan & Hu, Ling, 2007. "Nonstationary discrete choice: A corrigendum and addendum," Journal of Econometrics, Elsevier, vol. 141(2), pages 1115-1130, December.
  17. Linton, Oliver B. & Mammen, Enno, 2008. "Nonparametric transformation to white noise," Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
  18. Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015. "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
  19. Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
  20. Li, Degui & Phillips, Peter C. B. & Gao, Jiti, 2016. "Uniform Consistency Of Nonstationary Kernel-Weighted Sample Covariances For Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 32(3), pages 655-685, June.
  21. Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
  22. Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, 2001. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Cowles Foundation Discussion Papers 1311, Cowles Foundation for Research in Economics, Yale University.
  23. Chang, Yoosoon & Choi, Yongok & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y., 2016. "Disentangling temporal patterns in elasticities: A functional coefficient panel analysis of electricity demand," Energy Economics, Elsevier, vol. 60(C), pages 232-243.
  24. Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
  25. Peter C. B. Phillips, 2001. "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 389-413.
  26. Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
  27. Qiying Wang & Peter C. B. Phillips, 2022. "A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series," Cowles Foundation Discussion Papers 2337, Cowles Foundation for Research in Economics, Yale University.
  28. Kyungsik Nam & Sungro Lee & Hocheol Jeon, 2020. "Nonlinearity between CO 2 Emission and Economic Development: Evidence from a Functional Coefficient Panel Approach," Sustainability, MDPI, vol. 12(24), pages 1-10, December.
  29. Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
  30. Zongwu Cai & Bingyi Jing & Xinbing Kong & Zhi Liu, 2017. "Nonparametric regression with nearly integrated regressors under long‐run dependence," Econometrics Journal, Royal Economic Society, vol. 20(1), pages 118-138, February.
  31. Phillips, Peter C.B., 2009. "Local Limit Theory And Spurious Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1466-1497, December.
  32. Emmanuel Guerre, 2004. "Design-Adaptive Pointwise Nonparametric Regression Estimation for Recurrent Markov Time Series," Working Papers 2004-22, Center for Research in Economics and Statistics.
  33. Kristensen, Dennis, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
  34. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order," CeMMAP working papers 53/16, Institute for Fiscal Studies.
  35. Steven P. Clark & T. Daniel Coggin, 2018. "A study of fractionally integrated time series using descriptive methods," Applied Economics, Taylor & Francis Journals, vol. 50(2), pages 172-186, January.
  36. Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.
  37. Chaohua Dong & Jiti Gao, 2011. "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers 19/11, Monash University, Department of Econometrics and Business Statistics.
  38. repec:wyi:journl:002112 is not listed on IDEAS
  39. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
  40. Federico Bandi & Peter C. B. Phillips, 2000. "Accelerated Asymptotics for Diffusion Model Estimation," Econometric Society World Congress 2000 Contributed Papers 1656, Econometric Society.
  41. Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
  42. Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(3), pages 710-738, June.
  43. 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.
  44. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  45. Qiying Wang & Peter C. B. Phillips, 2009. "Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications," Cowles Foundation Discussion Papers 1687, Cowles Foundation for Research in Economics, Yale University.
  46. Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
  47. Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
  48. Lu, Zudi & Linton, Oliver, 2007. "Local Linear Fitting Under Near Epoch Dependence," Econometric Theory, Cambridge University Press, vol. 23(1), pages 37-70, February.
  49. Zongwu Cai & Qi Li, 2013. "Some Recent Develop- ments on Nonparametric Econometrics," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  50. Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers 16/13, Institute for Fiscal Studies.
  51. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  52. Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
  53. Yongok Choi, 2020. "Impact of Longevity Risks on the Korean Government: Proposing a New Mortality Forecasting Model," Korean Economic Review, Korean Economic Association, vol. 36, pages 201-225.
  54. C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, September.
  55. repec:wyi:journl:002096 is not listed on IDEAS
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