Functional-coefficient models for nonstationary time series data

Journal of Econometrics

Volumn 148, Issue 2, 2009, Pages 101-113

  Cai, Zongwu ^a,b   Li, Qi ^c,d   Park, Joon Y ^c  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

^b XIAMEN UNIVERSITY   (China)

^c TEXAS A AND M UNIVERSITY   (United States)

^d TSINGHUA UNIVERSITY   (China)

Author keywords

Nonlinearity; Nonstationary; Semiparametric estimation

Indexed keywords

BROWNIAN MOVEMENT; DISTRIBUTION FUNCTIONS; ESTIMATION; FUNCTIONS; NORMAL DISTRIBUTION; PROBABILITY DENSITY FUNCTION; REGRESSION ANALYSIS; STATISTICAL TESTS; TIME SERIES;

ASYMPTOTIC BEHAVIORS; ASYMPTOTIC BIAS; ASYMPTOTIC DISTRIBUTIONS; BROWNIAN MOTIONS; COEFFICIENT FUNCTIONS; COEFFICIENT MODELS; CONVERGENCE RATES; COVARIATE; COVARIATES; LOCAL LINEAR; LOCAL TIME; MEAN-SQUARED ERRORS; NON-STATIONARY TIME SERIES; NONLINEARITY; NONPARAMETRIC ESTIMATORS; NONSTATIONARY; OPTIMALITY; REGRESSION MODELS; SEMIPARAMETRIC ESTIMATION; TWO STAGES;

ASYMPTOTIC ANALYSIS;

EID: 59349089800     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.10.003     Document Type: Article

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