메뉴 건너뛰기




Volumn , Issue , 2007, Pages 1-237

Nonlinear time series: Semiparametric and nonparametric methods

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85057266836     PISSN: None     EISSN: None     Source Type: Book    
DOI: None     Document Type: Book
Times cited : (155)

References (316)
  • 1
    • 0001066856 scopus 로고
    • Asymptotic integrated mean square error using least squares and bias minimizing splines
    • Agarwal, G. G., and Studden, W. J., 1980. Asymptotic integrated mean square error using least squares and bias minimizing splines. Annals of Statistics 8, 1307–1325.
    • (1980) Annals of Statistics , vol.8 , pp. 1307-1325
    • Agarwal, G.G.1    Studden, W.J.2
  • 2
    • 0033410115 scopus 로고    scopus 로고
    • A parametric nonlinear model of term structure dynamics
    • Ahn, D. H., and Gao, B., 1999. A parametric nonlinear model of term structure dynamics. Review of Financial Studies 12, 721–762.
    • (1999) Review of Financial Studies , vol.12 , pp. 721-762
    • Ahn, D.H.1    Gao, B.2
  • 3
    • 0030369366 scopus 로고    scopus 로고
    • Nonparametric pricing of interest rate derivative securities
    • Aït-Sahalia, Y., 1996a. Nonparametric pricing of interest rate derivative securities. Econometrica 64, 527–560.
    • (1996) Econometrica , vol.64 , pp. 527-560
    • Aït-Sahalia, Y.1
  • 4
    • 0242670422 scopus 로고    scopus 로고
    • Testing continuous-time models of the spot interest rate
    • Aït-Sahalia, Y., 1996b. Testing continuous-time models of the spot interest rate. Review of Financial Studies 9, 385–426.
    • (1996) Review of Financial Studies , vol.9 , pp. 385-426
    • Aït-Sahalia, Y.1
  • 5
    • 0040843309 scopus 로고    scopus 로고
    • Transition densities for interest rate and other nonlinear diffusions
    • Aït-Sahalia, Y., 1999. Transition densities for interest rate and other nonlinear diffusions. Journal of Finance 54, 1361–1395.
    • (1999) Journal of Finance , vol.54 , pp. 1361-1395
    • Aït-Sahalia, Y.1
  • 6
    • 18044402907 scopus 로고    scopus 로고
    • Goodness-of-fit tests for regression using kernel methods
    • Aït-Sahalia, Y., Bickel, P., and Stoker, T., 2001. Goodness-of-fit tests for regression using kernel methods. Journal of Econometrics 105, 363–412.
    • (2001) Journal of Econometrics , vol.105 , pp. 363-412
    • Aït-Sahalia, Y.1    Bickel, P.2    Stoker, T.3
  • 7
    • 0039505965 scopus 로고    scopus 로고
    • Nonparametric estimation of state– price densities implicit in financial asset prices
    • Aït-Sahalia, Y., and Lo, A., 1998. Nonparametric estimation of state– price densities implicit in financial asset prices. Journal of Finance 53, 499–547.
    • (1998) Journal of Finance , vol.53 , pp. 499-547
    • Aït-Sahalia, Y.1    Lo, A.2
  • 8
    • 0002804196 scopus 로고    scopus 로고
    • Nonparametric risk management and implied risk aversion
    • Aït-Sahalia, Y., and Lo, A., 2000. Nonparametric risk management and implied risk aversion. Journal of Econometrics 94, 9–51.
    • (2000) Journal of Econometrics , vol.94 , pp. 9-51
    • Aït-Sahalia, Y.1    Lo, A.2
  • 9
    • 0000501656 scopus 로고
    • Information theory and an extension of the maximum likelihood principle
    • (Edited by B. N. Petrov and F. Csáki), Akadémiai Kiado, Budapest
    • Akaike, H., 1973. Information theory and an extension of the maximum likelihood principle. In 2nd International Symposium on Information Theory (Edited by B. N. Petrov and F. Csáki), 267–281. Akadémiai Kiado, Budapest.
    • (1973) 2Nd International Symposium on Information Theory , pp. 267-281
    • Akaike, H.1
  • 10
    • 0000309098 scopus 로고    scopus 로고
    • Estimation in continuous–time stochastic volatility models of the short term interest rate
    • Andersen, T. G., and Lund, J., 1997. Estimation in continuous–time stochastic volatility models of the short term interest rate. Journal of Econometrics 77, 343–378.
    • (1997) Journal of Econometrics , vol.77 , pp. 343-378
    • Andersen, T.G.1    Lund, J.2
  • 12
    • 0000090466 scopus 로고
    • Asymptotic normality of series estimators for nonparametric and semiparametric regression models
    • Andrews, D. W., 1991. Asymptotic normality of series estimators for nonparametric and semiparametric regression models. Econometrica 59, 307–345.
    • (1991) Econometrica , vol.59 , pp. 307-345
    • Andrews, D.W.1
  • 13
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews, D. W., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821–856.
    • (1993) Econometrica , vol.61 , pp. 821-856
    • Andrews, D.W.1
  • 14
    • 0001179485 scopus 로고    scopus 로고
    • A conditional kolmogorov test
    • Andrews, D. W., 1997. A conditional kolmogorov test. Econometrica 65, 1097–1028.
    • (1997) Econometrica , vol.65 , pp. 1028-1097
    • Andrews, D.W.1
  • 15
    • 0000209591 scopus 로고
    • Optimal tests when a nuisance parameter is present only under the alternative
    • Andrews, D. W., and Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383–1414.
    • (1994) Econometrica , vol.62 , pp. 1383-1414
    • Andrews, D.W.1    Ploberger, W.2
  • 18
    • 16244389985 scopus 로고    scopus 로고
    • Financial markets with memory I: Dynamic models
    • Anh, V., and Inoue, A., 2005. Financial markets with memory I: dynamic models. Stochastic Analysis & Its Applications 23, 275–300.
    • (2005) Stochastic Analysis & Its Applications , vol.23 , pp. 275-300
    • Anh, V.1    Inoue, A.2
  • 19
    • 16244415545 scopus 로고    scopus 로고
    • Financial markets with memory II: Innovation processes and expected utility maximization
    • Anh, V., Inoue, A., and Kasahara, Y., 2005. Financial markets with memory II: innovation processes and expected utility maximization. Stochastic Analysis & Its Applications 23, 301–328.
    • (2005) Stochastic Analysis & Its Applications , vol.23 , pp. 301-328
    • Anh, V.1    Inoue, A.2    Kasahara, Y.3
  • 21
    • 33646182728 scopus 로고    scopus 로고
    • Empirical comparisons in short–term interest rate models using nonparametric methods
    • Arapis, M., and Gao, J., 2006. Empirical comparisons in short–term interest rate models using nonparametric methods. Journal of Financial Econometrics 4, 310–345.
    • (2006) Journal of Financial Econometrics , vol.4 , pp. 310-345
    • Arapis, M.1    Gao, J.2
  • 22
    • 0001627244 scopus 로고
    • Identification of nonlinear time series: First order characterization and order determination
    • Auestad, B., and Tjøstheim, D., 1990. Identification of nonlinear time series: first order characterization and order determination. Biometrika 77, 669–687.
    • (1990) Biometrika , vol.77 , pp. 669-687
    • Auestad, B.1    Tjøstheim, D.2
  • 23
    • 30744448146 scopus 로고    scopus 로고
    • Two–step cross–validation selection method for partially linear models
    • Avramidis, P., 2005. Two–step cross–validation selection method for partially linear models. Statistica Sinica 15, 1033–1048.
    • (2005) Statistica Sinica , vol.15 , pp. 1033-1048
    • Avramidis, P.1
  • 25
    • 0008918105 scopus 로고    scopus 로고
    • Special Issue of the Journal of Econometrics
    • Baillie, R., and King, M. L. (eds.)
    • Baillie, R., and King, M. L. (eds.), 1996. Special Issue of the Journal of Econometrics. Annals of Econometrics 73.
    • (1996) Annals of Econometrics , vol.73
  • 26
    • 0037273358 scopus 로고    scopus 로고
    • Fully nonparametric estimation of scalar diffusion models
    • Bandi, F., and Phillips, P. C. B., 2003. Fully nonparametric estimation of scalar diffusion models. Econometrica 71, 241–283.
    • (2003) Econometrica , vol.71 , pp. 241-283
    • Bandi, F.1    Phillips, P.C.B.2
  • 28
    • 6444244772 scopus 로고    scopus 로고
    • Local polynomial fitting with long-memory, short-memory and antipersistent errors
    • Beran, J., and Feng, Y., 2002. Local polynomial fitting with long-memory, short-memory and antipersistent errors. Annals of the Institute of Statistical Mathematics 54, 291–311.
    • (2002) Annals of the Institute of Statistical Mathematics , vol.54 , pp. 291-311
    • Beran, J.1    Feng, Y.2
  • 29
    • 0032364139 scopus 로고    scopus 로고
    • Root–n–consistent estimation in partial linear models with long–memory errors
    • Beran, J., and Ghosh, S., 1998. Root–n–consistent estimation in partial linear models with long–memory errors. Scandinavian Journal of Statistics 25, 345–357.
    • (1998) Scandinavian Journal of Statistics , vol.25 , pp. 345-357
    • Beran, J.1    Ghosh, S.2
  • 31
    • 33645015342 scopus 로고    scopus 로고
    • On discriminating between long–range dependence and changes in mean
    • Berkes, I., Horváth, L., Kokoszka, P., and Shao, Q., 2006. On discriminating between long–range dependence and changes in mean. Annals of Statistics 34, 1116–1140.
    • (2006) Annals of Statistics , vol.34 , pp. 1116-1140
    • Berkes, I.1    Horváth, L.2    Kokoszka, P.3    Shao, Q.4
  • 32
    • 0042658907 scopus 로고
    • Variable selection in nonparametric regression with categorical covariates
    • Bickel, P., and Zhang, P., 1992. Variable selection in nonparametric regression with categorical covariates. Journal of the American Statistical Association 87, 90–97.
    • (1992) Journal of the American Statistical Association , vol.87 , pp. 90-97
    • Bickel, P.1    Zhang, P.2
  • 33
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and Scholes, M., 1973. The pricing of options and corporate liabilities. Journal Political Economy 3, 637–654.
    • (1973) Journal Political Economy , Issue.3 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 35
    • 38249031636 scopus 로고
    • Consistency of a nonparametric estimate of a density function for dependent variables
    • Boente, G., and Fraiman, R., 1988. Consistency of a nonparametric estimate of a density function for dependent variables. Journal of Multivariate Analysis 25, 90–99.
    • (1988) Journal of Multivariate Analysis , vol.25 , pp. 90-99
    • Boente, G.1    Fraiman, R.2
  • 36
    • 0041494517 scopus 로고    scopus 로고
    • The detection and estimation of long–memory in stochastic volatility
    • Breidt, F. J., Crato, N. and de Lima, P. J. F., 1998. The detection and estimation of long–memory in stochastic volatility. Journal of Econometrics 83, 325–348.
    • (1998) Journal of Econometrics , vol.83 , pp. 325-348
    • Breidt, F.J.1    Crato, N.2    de Lima, P.J.F.3
  • 37
    • 49249146394 scopus 로고
    • A continuous–time approach to the pricing of bonds
    • Brennan, M., and Schwartz, E., 1980. A continuous–time approach to the pricing of bonds. Journal of Banking and Finance 3, 133–145.
    • (1980) Journal of Banking and Finance , vol.3 , pp. 133-145
    • Brennan, M.1    Schwartz, E.2
  • 38
    • 10244229626 scopus 로고    scopus 로고
    • Estimation methods for stochastic volatility models: A survey
    • Broto, C., and Ruiz, E., 2004. Estimation methods for stochastic volatility models: a survey. Journal of Economic Surveys 18, 613–649.
    • (2004) Journal of Economic Surveys , vol.18 , pp. 613-649
    • Broto, C.1    Ruiz, E.2
  • 40
    • 2242444502 scopus 로고    scopus 로고
    • Efficient estimation and inferences for varying–coefficient models
    • Cai, Z., Fan, J., and Li, R., 2000. Efficient estimation and inferences for varying–coefficient models. Journal of the American Statistical Association 95, 888–902.
    • (2000) Journal of the American Statistical Association , vol.95 , pp. 888-902
    • Cai, Z.1    Fan, J.2    Li, R.3
  • 41
    • 2242466770 scopus 로고    scopus 로고
    • Functional-coefficient regression models for nonlinear time series
    • Cai, Z., Fan, J., and Yao, Q., 2000. Functional-coefficient regression models for nonlinear time series. Journal of the American Statistical Association 95, 941–956.
    • (2000) Journal of the American Statistical Association , vol.95 , pp. 941-956
    • Cai, Z.1    Fan, J.2    Yao, Q.3
  • 46
    • 84977707412 scopus 로고
    • An empirical comparison of alternative models of the short–term interest rate
    • Chan, K., Karolyi, F., Longstaff, F., and Sanders, A., 1992. An empirical comparison of alternative models of the short–term interest rate. Journal of Finance 47, 1209–1227.
    • (1992) Journal of Finance , vol.47 , pp. 1209-1227
    • Chan, K.1    Karolyi, F.2    Longstaff, F.3    Sanders, A.4
  • 48
    • 0039372662 scopus 로고    scopus 로고
    • Is the short rate drift actually nonlinear
    • Chapman, D., and Pearson, N., 2000. Is the short rate drift actually nonlinear ? Journal of Finance 54, 355–388.
    • (2000) Journal of Finance , vol.54 , pp. 355-388
    • Chapman, D.1    Pearson, N.2
  • 49
    • 84988112858 scopus 로고
    • Selection of the splined variables and convergence rates in a partial spline model
    • Chen, H., and Chen, K., 1991. Selection of the splined variables and convergence rates in a partial spline model. Canadian Journal of Statistics 19, 323–339.
    • (1991) Canadian Journal of Statistics , vol.19 , pp. 323-339
    • Chen, H.1    Chen, K.2
  • 50
    • 0000354898 scopus 로고
    • Additivity tests for nonlinear autoregression
    • Chen, R., Liu, J., and Tsay, R., 1995. Additivity tests for nonlinear autoregression. Biometrika 82, 369–383.
    • (1995) Biometrika , vol.82 , pp. 369-383
    • Chen, R.1    Liu, J.2    Tsay, R.3
  • 52
    • 85057284347 scopus 로고    scopus 로고
    • An adaptive empirical likelihood test for parametric time series regression
    • forth-coming and available from
    • Chen, S. X., and Gao, J., 2004. An adaptive empirical likelihood test for parametric time series regression. Journal of Econometrics (forth-coming and available from www.maths.uwa.edu.au/˜jiti/cg04.pdf).
    • (2004) Journal of Econometrics
    • Chen, S.X.1    Gao, J.2
  • 55
    • 0008598944 scopus 로고    scopus 로고
    • Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
    • Chen, X., and Fan, Y., 1999. Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series. Journal of Econometrics 91, 373–401.
    • (1999) Journal of Econometrics , vol.91 , pp. 373-401
    • Chen, X.1    Fan, Y.2
  • 56
    • 27744551283 scopus 로고    scopus 로고
    • Pseudo–likelihood ratio tests for model selection in semiparametric multivariate copula models
    • Chen, X., and Fan, Y., 2005. Pseudo–likelihood ratio tests for model selection in semiparametric multivariate copula models. Canadian Journal of Statistics 33, 389–414.
    • (2005) Canadian Journal of Statistics , vol.33 , pp. 389-414
    • Chen, X.1    Fan, Y.2
  • 57
    • 0000658358 scopus 로고
    • Semiparametric estimation from time series with long–range dependence
    • Cheng, B., and Robinson, P. M., 1994. Semiparametric estimation from time series with long–range dependence. Journal of Econometrics 64, 335–353.
    • (1994) Journal of Econometrics , vol.64 , pp. 335-353
    • Cheng, B.1    Robinson, P.M.2
  • 60
    • 0001856115 scopus 로고    scopus 로고
    • Simulation and estimation of long memory continuous time models
    • Comte, F., 1996. Simulation and estimation of long memory continuous time models. Journal of Time Series Analysis 17, 19–36.
    • (1996) Journal of Time Series Analysis , vol.17 , pp. 19-36
    • Comte, F.1
  • 61
    • 0001399448 scopus 로고    scopus 로고
    • Long memory in continuous-time models
    • Comte, F., and Renault, E., 1996. Long memory in continuous-time models. Journal of Econometrics 73, 101–149.
    • (1996) Journal of Econometrics , vol.73 , pp. 101-149
    • Comte, F.1    Renault, E.2
  • 62
    • 0032356952 scopus 로고    scopus 로고
    • Long memory in continuous–time stochastic volatility models
    • Comte, F., and Renault, E., 1998. Long memory in continuous–time stochastic volatility models. Mathematical Finance 8, 291–323.
    • (1998) Mathematical Finance , vol.8 , pp. 291-323
    • Comte, F.1    Renault, E.2
  • 63
    • 9544252970 scopus 로고    scopus 로고
    • Bootstrap specification tests for diffusion processes
    • Corradi, V., and Swanson, N. R., 2005. Bootstrap specification tests for diffusion processes. Journal of Econometrics 124, 117–148.
    • (2005) Journal of Econometrics , vol.124 , pp. 117-148
    • Corradi, V.1    Swanson, N.R.2
  • 64
    • 0039181704 scopus 로고    scopus 로고
    • Specification tests for the variance of a diffusion process
    • Corradi, V., and White, H., 1999. Specification tests for the variance of a diffusion process. Journal of Time Series Analysis 20, 253–270.
    • (1999) Journal of Time Series Analysis , vol.20 , pp. 253-270
    • Corradi, V.1    White, H.2
  • 65
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • Cox, J., Ingersoll, E., and Ross, S., 1985. An intertemporal general equilibrium model of asset prices. Econometrica 53, 363–384.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.1    Ingersoll, E.2    Ross, S.3
  • 66
    • 0001318609 scopus 로고
    • Efficient parameter estimation for self–similar processes
    • Dahlhaus, R., 1989. Efficient parameter estimation for self–similar processes. Annals of Statistics 17, 1749–1766.
    • (1989) Annals of Statistics , vol.17 , pp. 1749-1766
    • Dahlhaus, R.1
  • 67
    • 0012855576 scopus 로고    scopus 로고
    • Nonparametric inference on structural breaks
    • Delgado, M. A., and Hidalgo, J., 2000. Nonparametric inference on structural breaks. Journal of Econometrics 96, 113–144.
    • (2000) Journal of Econometrics , vol.96 , pp. 113-144
    • Delgado, M.A.1    Hidalgo, J.2
  • 68
    • 0035627018 scopus 로고    scopus 로고
    • On the log–periodogram regression estimator of the memory parameter in long memory stochastic volatility models
    • Deo, R., and Hurvich, C. M., 2001. On the log–periodogram regression estimator of the memory parameter in long memory stochastic volatility models. Econometric Theory 17, 686–710.
    • (2001) Econometric Theory , vol.17 , pp. 686-710
    • Deo, R.1    Hurvich, C.M.2
  • 69
    • 0033248627 scopus 로고    scopus 로고
    • A consistent test for the functional form of a regression based on a difference of variance estimators
    • Dette, H., 1999. A consistent test for the functional form of a regression based on a difference of variance estimators. Annals of Statistics 27, 1012–1040.
    • (1999) Annals of Statistics , vol.27 , pp. 1012-1040
    • Dette, H.1
  • 70
    • 0037089960 scopus 로고    scopus 로고
    • A consistent test for heteroscedasticity in nonparametric regression based on the kernel method
    • Dette, H., 2002. A consistent test for heteroscedasticity in nonparametric regression based on the kernel method. Journal of Statistical Planning & Inference 103, 311–329.
    • (2002) Journal of Statistical Planning & Inference , vol.103 , pp. 311-329
    • Dette, H.1
  • 71
    • 0742319277 scopus 로고    scopus 로고
    • Testing additivity by kernel-based methods—what is a reasonable test ?
    • Dette, H., and Von Lieres und Wilkau, C., 2001. Testing additivity by kernel-based methods—what is a reasonable test ? Bernoulli 7, 669–697.
    • (2001) Bernoulli , vol.7 , pp. 669-697
    • Dette, H.1    von Lieres2    Wilkau, C.3
  • 72
    • 33745301117 scopus 로고    scopus 로고
    • On a test for a parametric form of volatility in continuous time financial models
    • Dette, H., and Von Lieres und Wilkau, C., 2003. On a test for a parametric form of volatility in continuous time financial models. Finance Stochastics 7, 363–384.
    • (2003) Finance Stochastics , vol.7 , pp. 363-384
    • Dette, H.1    von Lieres2    Wilkau, C.3
  • 74
    • 85036258669 scopus 로고
    • Distribution of estimators for autoregressive time series with a unit root
    • Dickey, D. A., and Fuller, W. A., 1979. Distribution of estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427–431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 75
    • 0001250871 scopus 로고    scopus 로고
    • Modelling volatility persistence of speculative returns: A new approach
    • Ding, Z., and Granger, C. W. J., 1996. Modelling volatility persistence of speculative returns: a new approach. Journal of Econometrics 73, 185–215.
    • (1996) Journal of Econometrics , vol.73 , pp. 185-215
    • Ding, Z.1    Granger, C.W.J.2
  • 76
    • 0041059062 scopus 로고
    • A long memory property of stock market returns and a new model
    • Ding, Z., Granger, C. W. J., and Engle, R., 1993. A long memory property of stock market returns and a new model. Journal of Empirical Finance 1, 83–105.
    • (1993) Journal of Empirical Finance , vol.1 , pp. 83-105
    • Ding, Z.1    Granger, C.W.J.2    Engle, R.3
  • 79
    • 85057280923 scopus 로고    scopus 로고
    • Likelihood specification analysis of continuous– time models of the short–term interest rate
    • Durham, G. B., 2004. Likelihood specification analysis of continuous– time models of the short–term interest rate. Forthcoming in the Journal of Financial Economics.
    • (2004) Forthcoming in the Journal of Financial Economics
    • Durham, G.B.1
  • 80
    • 84971840190 scopus 로고
    • Adaptive truncation rules for seminonparametric estimates achieving asymptotic normality
    • Eastwood, B., and Gallant, R., 1991. Adaptive truncation rules for seminonparametric estimates achieving asymptotic normality. Econometric Theory 7, 307–340.
    • (1991) Econometric Theory , vol.7 , pp. 307-340
    • Eastwood, B.1    Gallant, R.2
  • 81
    • 0005866763 scopus 로고    scopus 로고
    • Financial econometrics–a new dicipline with new methods
    • Engle, R. F., 2001. Financial econometrics–a new dicipline with new methods. Journal of Econometrics 100, 53–56.
    • (2001) Journal of Econometrics , vol.100 , pp. 53-56
    • Engle, R.F.1
  • 82
    • 0000013567 scopus 로고
    • Co–integration and error correction: Representation, estimation and testing
    • Engle, R. F., and Granger, C. W. J., 1987. Co–integration and error correction: representation, estimation and testing. Econometrica 55, 251–276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 86
    • 21144482103 scopus 로고
    • Testing goodness-of-fit in regression via order selection
    • Eubank, R. L., and Hart, J. D., 1992. Testing goodness-of-fit in regression via order selection. Annals of Statistics 20, 1412–1425.
    • (1992) Annals of Statistics , vol.20 , pp. 1412-1425
    • Eubank, R.L.1    Hart, J.D.2
  • 87
    • 84950450933 scopus 로고
    • Testing the goodness of fit of a linear model via nonparametric regression techniques
    • Eubank, R. L., and Spiegelman, C. H., 1990. Testing the goodness of fit of a linear model via nonparametric regression techniques. Journal of the American Statistical Association 85, 387–392.
    • (1990) Journal of the American Statistical Association , vol.85 , pp. 387-392
    • Eubank, R.L.1    Spiegelman, C.H.2
  • 89
    • 0030549054 scopus 로고    scopus 로고
    • Test of significance based on wavelet thresholding and Neyman’s truncation
    • Fan, J., 1996. Test of significance based on wavelet thresholding and Neyman’s truncation. Journal of the American Statistical Association 91, 674–688.
    • (1996) Journal of the American Statistical Association , vol.91 , pp. 674-688
    • Fan, J.1
  • 90
    • 33144462717 scopus 로고    scopus 로고
    • A selective overview of nonparametric methods in financial econometrics. With comments and a rejoinder by the author
    • Fan, J., 2005. A selective overview of nonparametric methods in financial econometrics. With comments and a rejoinder by the author. Statistical Science 20, 317–357.
    • (2005) Statistical Science , vol.20 , pp. 317-357
    • Fan, J.1
  • 92
    • 0032359619 scopus 로고    scopus 로고
    • Direct estimation of low dimensional components in additive models
    • Fan, J., Härdle, W., and Mammen, E., 1998. Direct estimation of low dimensional components in additive models. Annals of Statistics 26, 943–971.
    • (1998) Annals of Statistics , vol.26 , pp. 943-971
    • Fan, J.1    Härdle, W.2    Mammen, E.3
  • 94
    • 31044432144 scopus 로고    scopus 로고
    • Profile likelihood inferences on semiparametric varying–coefficient partially linear models
    • Fan, J., and Huang, T., 2005. Profile likelihood inferences on semiparametric varying–coefficient partially linear models. Bernoulli 11, 1031–1057.
    • (2005) Bernoulli , vol.11 , pp. 1031-1057
    • Fan, J.1    Huang, T.2
  • 96
    • 0348229233 scopus 로고    scopus 로고
    • Time–dependent diffusion models for term structure dynamics
    • Fan, J., Jiang, J., Zhang, C., and Zhou, Z., 2003. Time–dependent diffusion models for term structure dynamics. Statistica Sinica 13, 965–992.
    • (2003) Statistica Sinica , vol.13 , pp. 965-992
    • Fan, J.1    Jiang, J.2    Zhang, C.3    Zhou, Z.4
  • 97
    • 1542784498 scopus 로고    scopus 로고
    • Variable selection via nonconcave penalized likelihood and its oracle properties
    • Fan, J., and Li, R., 2001. Variable selection via nonconcave penalized likelihood and its oracle properties. Journal of the American Statistical Association 96, 1348–1360.
    • (2001) Journal of the American Statistical Association , vol.96 , pp. 1348-1360
    • Fan, J.1    Li, R.2
  • 98
    • 0036117466 scopus 로고    scopus 로고
    • Variable selection for Cox’s proportional hazards model and frailty model
    • Fan, J., and Li, R., 2002. Variable selection for Cox’s proportional hazards model and frailty model. Annals of Statistics 30, 74–99.
    • (2002) Annals of Statistics , vol.30 , pp. 74-99
    • Fan, J.1    Li, R.2
  • 99
    • 0000871211 scopus 로고    scopus 로고
    • Efficient estimation of conditional variance functions in stochastic regression
    • Fan, J., and Yao, Q., 1998. Efficient estimation of conditional variance functions in stochastic regression. Biometrika 85, 645–660.
    • (1998) Biometrika , vol.85 , pp. 645-660
    • Fan, J.1    Yao, Q.2
  • 101
    • 0037361697 scopus 로고    scopus 로고
    • A re-examination of Stanton’s diffusion estimation with applications to financial model validation
    • Fan, J., and Zhang, C., 2003. A re-examination of Stanton’s diffusion estimation with applications to financial model validation. Journal of the American Statistical Association 461, 118–134.
    • (2003) Journal of the American Statistical Association , vol.461 , pp. 118-134
    • Fan, J.1    Zhang, C.2
  • 102
    • 0035633948 scopus 로고    scopus 로고
    • Generalized likelihood ratio statistics and Wilks phenomenon
    • Fan, J., Zhang, C. M., and Zhang, J., 2001. Generalized likelihood ratio statistics and Wilks phenomenon. Annals of Statistics 29, 153–193.
    • (2001) Annals of Statistics , vol.29 , pp. 153-193
    • Fan, J.1    Zhang, C.M.2    Zhang, J.3
  • 103
    • 0030353969 scopus 로고    scopus 로고
    • Consistent model specification tests: Omitted variables and semiparametric functional forms
    • Fan, Y., and Li, Q., 1996. Consistent model specification tests: omitted variables and semiparametric functional forms. Econometrica 64, 865– 890.
    • (1996) Econometrica , vol.64 , pp. 865-890
    • Fan, Y.1    Li, Q.2
  • 104
    • 0000003676 scopus 로고    scopus 로고
    • Central limit theorem for degenerate U– statistics of absolutely regular processes with applications to model specification testing
    • Fan, Y., and Li, Q., 1999. Central limit theorem for degenerate U– statistics of absolutely regular processes with applications to model specification testing. Journal of Nonparametric Statistics 10, 245–271.
    • (1999) Journal of Nonparametric Statistics , vol.10 , pp. 245-271
    • Fan, Y.1    Li, Q.2
  • 105
    • 0034363394 scopus 로고    scopus 로고
    • Consistent model specification tests: Kernel-based tests versus Bierens’ ICM tests
    • Fan, Y., and Li, Q., 2000. Consistent model specification tests: kernel-based tests versus Bierens’ ICM tests. Econometric Theory 16 1016– 1041.
    • (2000) Econometric Theory , vol.16 , pp. 1016-1041
    • Fan, Y.1    Li, Q.2
  • 106
    • 0141461502 scopus 로고    scopus 로고
    • A kernel-based method for estimating additive partially linear models
    • Fan, Y., and Li, Q., 2003. A kernel-based method for estimating additive partially linear models. Statistica Sinica 13, 739–762.
    • (2003) Statistica Sinica , vol.13 , pp. 739-762
    • Fan, Y.1    Li, Q.2
  • 107
    • 0037209655 scopus 로고    scopus 로고
    • Some higher–theory for a consistent nonparametric model specification test
    • Fan, Y., and Linton, O., 2003. Some higher–theory for a consistent nonparametric model specification test. Journal of Statistical Planning and Inference 109, 125–154.
    • (2003) Journal of Statistical Planning and Inference , vol.109 , pp. 125-154
    • Fan, Y.1    Linton, O.2
  • 108
    • 0002188727 scopus 로고
    • Large–sample properties of parameter estimates for strongly dependent stationary Gaussian time series
    • Fox, R., and Taqqu, M. S., 1986. Large–sample properties of parameter estimates for strongly dependent stationary Gaussian time series. Annals of Statistics 14, 512–532.
    • (1986) Annals of Statistics , vol.14 , pp. 512-532
    • Fox, R.1    Taqqu, M.S.2
  • 109
    • 0041900030 scopus 로고    scopus 로고
    • Bootstrap of kernel smoothing in nonlinear time series
    • Franke, J., Kreiss, J. P., and Mammen, E., 2002. Bootstrap of kernel smoothing in nonlinear time series. Bernoulli 8, 1–38.
    • (2002) Bernoulli , vol.8 , pp. 1-38
    • Franke, J.1    Kreiss, J.P.2    Mammen, E.3
  • 111
    • 0004185784 scopus 로고
    • Cambridge University Press
    • Frisch, U., 1995. Turbulence. Cambridge University Press.
    • (1995) Turbulence
    • Frisch, U.1
  • 113
    • 0001968889 scopus 로고
    • On the bias in flexible functional forms and an essentially unbiased form: The Fourier flexible form
    • Gallant, A. R., 1981. On the bias in flexible functional forms and an essentially unbiased form: the Fourier flexible form. Journal of Econometrics 15, 211–245.
    • (1981) Journal of Econometrics , vol.15 , pp. 211-245
    • Gallant, A.R.1
  • 114
    • 0000021006 scopus 로고
    • On the asymptotic normality of Fourier flexible form estimates
    • Gallant, A. R., and Souza, G., 1991. On the asymptotic normality of Fourier flexible form estimates. Journal of Econometrics 50, 329–353.
    • (1991) Journal of Econometrics , vol.50 , pp. 329-353
    • Gallant, A.R.1    Souza, G.2
  • 115
    • 0000126160 scopus 로고    scopus 로고
    • Semiparametric regression modelling of nonlinear time series
    • Gao, J., 1998. Semiparametric regression modelling of nonlinear time series. Scandinavian Journal of Statistics 25, 521–539.
    • (1998) Scandinavian Journal of Statistics , vol.25 , pp. 521-539
    • Gao, J.1
  • 117
    • 3242742132 scopus 로고    scopus 로고
    • Modelling long–range dependent Gaussian processes with application in continuous–time financial models
    • Gao, J., 2004. Modelling long–range dependent Gaussian processes with application in continuous–time financial models. Journal of Applied Probability 41, 467–482.
    • (2004) Journal of Applied Probability , vol.41 , pp. 467-482
    • Gao, J.1
  • 118
    • 0033175543 scopus 로고    scopus 로고
    • Semiparametric regression with long-range dependent error processes
    • Gao, J., and Anh, V., 1999. Semiparametric regression with long-range dependent error processes. Journal of Statistical Planning & Inference 80, 37–57.
    • (1999) Journal of Statistical Planning & Inference , vol.80 , pp. 37-57
    • Gao, J.1    Anh, V.2
  • 119
    • 0041777746 scopus 로고    scopus 로고
    • A central limit theorem for a random quadratic form of strictly stationary processes
    • Gao, J., and Anh, V., 2000. A central limit theorem for a random quadratic form of strictly stationary processes. Statistics & Probability Letters 49, 69–79.
    • (2000) Statistics & Probability Letters , vol.49 , pp. 69-79
    • Gao, J.1    Anh, V.2
  • 120
    • 0036233503 scopus 로고    scopus 로고
    • Statistical estimation of nonstationary Gaussian processes with long–range dependence and intermittency
    • Gao, J., Anh, V., and Heyde, C., 2002. Statistical estimation of nonstationary Gaussian processes with long–range dependence and intermittency. Stochastic Processes & Their Applications 99, 295–321.
    • (2002) Stochastic Processes & Their Applications , vol.99 , pp. 295-321
    • Gao, J.1    Anh, V.2    Heyde, C.3
  • 121
    • 0008878384 scopus 로고    scopus 로고
    • Parameter estimation of stochastic processes with long–range dependence and intermittency
    • Gao, J., Anh, V., Heyde, C., and Tieng, Q., 2001. Parameter estimation of stochastic processes with long–range dependence and intermittency. Journal of Time Series Analysis 22, 517–535.
    • (2001) Journal of Time Series Analysis , vol.22 , pp. 517-535
    • Gao, J.1    Anh, V.2    Heyde, C.3    Tieng, Q.4
  • 122
    • 0035702614 scopus 로고    scopus 로고
    • Semiparametric approximation methods in multivariate model selection
    • Gao, J., Anh, V., and Wolff, R. C. L., 2001. Semiparametric approximation methods in multivariate model selection. Journal of Complexity 17, 754–772.
    • (2001) Journal of Complexity , vol.17 , pp. 754-772
    • Gao, J.1    Anh, V.2    Wolff, R.C.L.3
  • 125
    • 33745622833 scopus 로고    scopus 로고
    • Semiparametric estimation and testing of the trend of temperature series
    • Gao, J., and Hawthorne, K., 2006. Semiparametric estimation and testing of the trend of temperature series. Econometrics Journal 9, 333– 356.
    • (2006) Econometrics Journal , vol.9 , pp. 333-356
    • Gao, J.1    Hawthorne, K.2
  • 126
    • 7244243713 scopus 로고    scopus 로고
    • Adaptive testing in continuous–time diffusion models
    • Gao, J., and King, M. L., 2004. Adaptive testing in continuous–time diffusion models. Econometric Theory 20, 844–882.
    • (2004) Econometric Theory , vol.20 , pp. 844-882
    • Gao, J.1    King, M.L.2
  • 129
    • 0003035313 scopus 로고
    • Asymptotic normality of pseudo-LS estimator for partially linear autoregressive models
    • Gao, J., and Liang, H., 1995. Asymptotic normality of pseudo-LS estimator for partially linear autoregressive models. Statistics & Probability Letters 23, 27–34.
    • (1995) Statistics & Probability Letters , vol.23 , pp. 27-34
    • Gao, J.1    Liang, H.2
  • 130
    • 9844263748 scopus 로고    scopus 로고
    • Statistical inference in single-index and partially nonlinear regression models
    • Gao, J., and Liang, H., 1997. Statistical inference in single-index and partially nonlinear regression models. Annals of the Institute of Statistical Mathematics 49, 493–517.
    • (1997) Annals of the Institute of Statistical Mathematics , vol.49 , pp. 493-517
    • Gao, J.1    Liang, H.2
  • 131
    • 33747152153 scopus 로고    scopus 로고
    • Estimation in semiparametric spatial regression
    • Gao, J., Lu, Z., and Tjøstheim, D., 2006. Estimation in semiparametric spatial regression. Annals of Statistics 36, 1395–1435.
    • (2006) Annals of Statistics , vol.36 , pp. 1395-1435
    • Gao, J.1    Lu, Z.2    Tjøstheim, D.3
  • 132
    • 0642340909 scopus 로고    scopus 로고
    • M-type smoothing splines in nonparametric and semiparametric regression models
    • Gao, J., and Shi, P., 1997. M-type smoothing splines in nonparametric and semiparametric regression models. Statistica Sinica 7, 1155–1169.
    • (1997) Statistica Sinica , vol.7 , pp. 1155-1169
    • Gao, J.1    Shi, P.2
  • 135
    • 0036556528 scopus 로고    scopus 로고
    • Adaptive orthogonal series estimation in additive stochastic regression models
    • Gao, J., Tong, H., and Wolff, R. C. L., 2002a. Adaptive orthogonal series estimation in additive stochastic regression models. Statistica Sinica 12, 409–428.
    • (2002) Statistica Sinica , vol.12 , pp. 409-428
    • Gao, J.1    Tong, H.2    Wolff, R.C.L.3
  • 136
    • 0036857532 scopus 로고    scopus 로고
    • Model specification tests in nonparametric stochastic regression models
    • Gao, J., Tong, H., and Wolff, R. C. L., 2002b. Model specification tests in nonparametric stochastic regression models. Journal of Multivariate Analysis 83, 324–359.
    • (2002) Journal of Multivariate Analysis , vol.83 , pp. 324-359
    • Gao, J.1    Tong, H.2    Wolff, R.C.L.3
  • 138
    • 0034359662 scopus 로고    scopus 로고
    • Adaptive estimation in partially linear (Semiparametric) autoregressive models
    • Gao, J., and Yee, T., 2000. Adaptive estimation in partially linear (semiparametric) autoregressive models. Canadian Journal of Statistics 28, 571–586.
    • (2000) Canadian Journal of Statistics , vol.28 , pp. 571-586
    • Gao, J.1    Yee, T.2
  • 139
    • 84986759400 scopus 로고
    • The estimation and application of long memory time series models
    • Geweke, J., and Porter–Hudak, S., 1983. The estimation and application of long memory time series models. Journal of Time Series Analysis 4, 221–237.
    • (1983) Journal of Time Series Analysis , vol.4 , pp. 221-237
    • Geweke, J.1    Porter–Hudak, S.2
  • 140
    • 1542471432 scopus 로고    scopus 로고
    • Bandwidth selection for change-point estimation in nonparametric regression
    • Gijbels, I., and Goderniaux, A. C., 2004. Bandwidth selection for change-point estimation in nonparametric regression. Technometrics 46, 76– 86.
    • (2004) Technometrics , vol.46 , pp. 76-86
    • Gijbels, I.1    Goderniaux, A.C.2
  • 142
    • 85057286145 scopus 로고    scopus 로고
    • Asymptotic expansion in the central limit theorem for quadratic forms
    • Probability and Statistics, The University of Bielefeld, Germany
    • Götze, F., Tikhomirov, A., and Yurchenko, V., 2004. Asymptotic expansion in the central limit theorem for quadratic forms. Preprint 04–004, Probability and Statistics, The University of Bielefeld, Germany.
    • (2004) Preprint 04–004
    • Götze, F.1    Tikhomirov, A.2    Yurchenko, V.3
  • 143
    • 33744790321 scopus 로고
    • A consistent model specification test for nonparametric estimation of regression function models
    • Gozalo, P. L., 1993. A consistent model specification test for nonparametric estimation of regression function models. Econometric Theory 9, 451–477.
    • (1993) Econometric Theory , vol.9 , pp. 451-477
    • Gozalo, P.L.1
  • 144
    • 0038441190 scopus 로고    scopus 로고
    • Testing additivity in generalized nonparametric regression models with estimated parameters
    • Gozalo, P. L., and Linton, O. B., 2001. Testing additivity in generalized nonparametric regression models with estimated parameters. Journal of Econometrics 104, 1–48.
    • (2001) Journal of Econometrics , vol.104 , pp. 1-48
    • Gozalo, P.L.1    Linton, O.B.2
  • 146
    • 84986792205 scopus 로고
    • An introduction to long–range time series models and fractional differencing
    • Granger, C. W. J., and Joyeux, R., 1980. An introduction to long–range time series models and fractional differencing. Journal of Time Series Analysis 1, 15–30.
    • (1980) Journal of Time Series Analysis , vol.1 , pp. 15-30
    • Granger, C.W.J.1    Joyeux, R.2
  • 150
  • 151
    • 0011081704 scopus 로고    scopus 로고
    • On the bandwidth choice in nonparametric regression with both short– and long–range dependent errors
    • Hall, P., Lahiri, S., and Polzehl, J., 1996. On the bandwidth choice in nonparametric regression with both short– and long–range dependent errors. Annals of Statistics 23, 1921–1936.
    • (1996) Annals of Statistics , vol.23 , pp. 1921-1936
    • Hall, P.1    Lahiri, S.2    Polzehl, J.3
  • 152
    • 0000302722 scopus 로고
    • The asymptotic theory of linear time–series models
    • Hannan, E. J., 1973. The asymptotic theory of linear time–series models. Journal of Applied Probability 10, 130–145.
    • (1973) Journal of Applied Probability , vol.10 , pp. 130-145
    • Hannan, E.J.1
  • 153
    • 0001028687 scopus 로고    scopus 로고
    • Sample splitting and threshold estimation
    • Hansen, B., 2000a. Sample splitting and threshold estimation. Econometrica 68, 575–603.
    • (2000) Econometrica , vol.68 , pp. 575-603
    • Hansen, B.1
  • 154
    • 0001881458 scopus 로고    scopus 로고
    • Testing for structural change in conditional means
    • Hansen, B., 2000b. Testing for structural change in conditional means. Journal of Econometrics 97, 93–115.
    • (2000) Journal of Econometrics 97 , pp. 93-115
    • Hansen, B.1
  • 156
    • 21144469983 scopus 로고
    • Optimal smoothing in single-index models
    • Härdle, W., Hall, P., and Ichimura, H., 1993. Optimal smoothing in single-index models. Annals of Statistics 21, 157-178.
    • (1993) Annals of Statistics , vol.21 , pp. 157-178
    • Härdle, W.1    Hall, P.2    Ichimura, H.3
  • 157
    • 84909719647 scopus 로고
    • How far are automatically chosen regression smoothing parameters from their optimum (With discussion)
    • Härdle, W., Hall, P., and Marron, J., 1988. How far are automatically chosen regression smoothing parameters from their optimum (with discussion) ? Journal of the American Statistical Association 83, 86– 99.
    • (1988) Journal of the American Statistical Association , vol.83 , pp. 86-99
    • Härdle, W.1    Hall, P.2    Marron, J.3
  • 159
    • 0033149329 scopus 로고    scopus 로고
    • Testing a regression model when we have smooth alternatives in mind
    • Härdle, W., and Kneip, A., 1999. Testing a regression model when we have smooth alternatives in mind. Scandinavian Journal of Statistics 26, 221–238.
    • (1999) Scandinavian Journal of Statistics , vol.26 , pp. 221-238
    • Härdle, W.1    Kneip, A.2
  • 162
    • 21344496537 scopus 로고
    • Comparing nonparametric versus parametric regression fits
    • Härdle, W., and Mammen, E., 1993. Comparing nonparametric versus parametric regression fits. Annals of Statistics 21, 1926–1947.
    • (1993) Annals of Statistics , vol.21 , pp. 1926-1947
    • Härdle, W.1    Mammen, E.2
  • 163
    • 84981405040 scopus 로고
    • Kernel regression smoothing of time series
    • Härdle, W., and Vieu, P., 1992. Kernel regression smoothing of time series. Journal of Time Series Analysis 13, 209–232.
    • (1992) Journal of Time Series Analysis , vol.13 , pp. 209-232
    • Härdle, W.1    Vieu, P.2
  • 167
    • 38249002390 scopus 로고
    • Smoothed periodogram asymptotics and estimation for processes and fields with possible long–range dependence
    • Heyde, C., and Gay, R., 1993. Smoothed periodogram asymptotics and estimation for processes and fields with possible long–range dependence. Stochastic Processes and Their Applications 45, 169–182.
    • (1993) Stochastic Processes and Their Applications , vol.45 , pp. 169-182
    • Heyde, C.1    Gay, R.2
  • 168
    • 84981421330 scopus 로고
    • Adaptive semiparametric estimation in the presence of autocorrelation of unknown form
    • Hidalgo, F. J., 1992. Adaptive semiparametric estimation in the presence of autocorrelation of unknown form. Journal of Time Series Anal-ysis 13, 47–78.
    • (1992) Journal of Time Series Anal-Ysis , vol.13 , pp. 47-78
    • Hidalgo, F.J.1
  • 169
    • 0040971346 scopus 로고
    • Nonparametric tests of linearity for time series
    • Hjellvik, V., and Tjøstheim, D., 1995. Nonparametric tests of linearity for time series. Biometrika 82, 351–368.
    • (1995) Biometrika , vol.82 , pp. 351-368
    • Hjellvik, V.1    Tjøstheim, D.2
  • 171
    • 12344258986 scopus 로고    scopus 로고
    • Nonparametric specification testing for continuous–time models with application to spot interest rates
    • Hong, Y., and Li, H., 2005. Nonparametric specification testing for continuous–time models with application to spot interest rates. Review of Financial Studies 18, 37–84.
    • (2005) Review of Financial Studies , vol.18 , pp. 37-84
    • Hong, Y.1    Li, H.2
  • 172
    • 0029423775 scopus 로고
    • Consistent specification testing via nonparametric series regression
    • Hong, Y., and White, H., 1995. Consistent specification testing via nonparametric series regression. Econometrica 63, 1133–1159.
    • (1995) Econometrica , vol.63 , pp. 1133-1159
    • Hong, Y.1    White, H.2
  • 173
    • 0042401396 scopus 로고    scopus 로고
    • Bootstrap methods for Markov processes
    • Horowitz, J., 2003. Bootstrap methods for Markov processes. Econometrica 71, 1049–1082.
    • (2003) Econometrica , vol.71 , pp. 1049-1082
    • Horowitz, J.1
  • 174
    • 84974231669 scopus 로고
    • Testing a parametric model against a semiparametric alternative
    • Horowitz, J. L., and Härdle, W., 1994. Testing a parametric model against a semiparametric alternative. Econometric Theory 10, 821– 848.
    • (1994) Econometric Theory , vol.10 , pp. 821-848
    • Horowitz, J.L.1    Härdle, W.2
  • 175
    • 21644433851 scopus 로고    scopus 로고
    • Nonparametric estimation of an additive model with a link function
    • Horowitz, J., and Mammen, E., 2004. Nonparametric estimation of an additive model with a link function. Annals of Statistics 32, 2412– 2443.
    • (2004) Annals of Statistics , vol.32 , pp. 2412-2443
    • Horowitz, J.1    Mammen, E.2
  • 176
    • 0034991055 scopus 로고    scopus 로고
    • An adaptive, rate-optimal test of a parametric mean-regression model against a nonparametric alternative
    • Horowitz, J., and Spokoiny, V. G., 2001. An adaptive, rate-optimal test of a parametric mean-regression model against a nonparametric alternative. Econometrica 69, 599–632.
    • (2001) Econometrica , vol.69 , pp. 599-632
    • Horowitz, J.1    Spokoiny, V.G.2
  • 178
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatilities
    • Hull, J., and White, A., 1987. The pricing of options on assets with stochastic volatilities. Journal of Finance 2, 281–300.
    • (1987) Journal of Finance , Issue.2 , pp. 281-300
    • Hull, J.1    White, A.2
  • 180
    • 84981426974 scopus 로고
    • Asymptotics for the low-frequency ordinates of the periodogram of a long–memory time series
    • Hurvich, C., and Beltrao, K., 1993. Asymptotics for the low-frequency ordinates of the periodogram of a long–memory time series. Journal of Time Series Analysis 14, 455–472.
    • (1993) Journal of Time Series Analysis , vol.14 , pp. 455-472
    • Hurvich, C.1    Beltrao, K.2
  • 181
    • 0002670989 scopus 로고    scopus 로고
    • The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series
    • Hurvich, C., Deo, R., and Brodsky, J., 1998. The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series. Journal of Time Series Analysis 19, 19–46.
    • (1998) Journal of Time Series Analysis , vol.19 , pp. 19-46
    • Hurvich, C.1    Deo, R.2    Brodsky, J.3
  • 182
    • 0001245561 scopus 로고
    • Relative rates of convergence for efficient model selection criteria in linear regression
    • Hurvich, C., and Tsai, C. L., 1995. Relative rates of convergence for efficient model selection criteria in linear regression. Biometrika 82, 418–425.
    • (1995) Biometrika , vol.82 , pp. 418-425
    • Hurvich, C.1    Tsai, C.L.2
  • 184
    • 0030335166 scopus 로고    scopus 로고
    • Testing for polynomial regression using nonparametric regression techniques
    • Jayasuriya, B., 1996. Testing for polynomial regression using nonparametric regression techniques. Journal of the American Statistical Association 91, 1626–1631.
    • (1996) Journal of the American Statistical Association , vol.91 , pp. 1626-1631
    • Jayasuriya, B.1
  • 185
    • 0032261308 scopus 로고    scopus 로고
    • Nonparametric modelling of US interest rate term structure dynamics and implication on the prices of derivative securities
    • Jiang, G., 1998. Nonparametric modelling of US interest rate term structure dynamics and implication on the prices of derivative securities. Journal Financial and Quantitative Analysis 33, 465–497.
    • (1998) Journal Financial and Quantitative Analysis , vol.33 , pp. 465-497
    • Jiang, G.1
  • 186
    • 0031536748 scopus 로고    scopus 로고
    • A nonparametric approach to the estimation of diffusion processes with an application to a short-term interest rate model
    • Jiang, G., and Knight, J., 1997. A nonparametric approach to the estimation of diffusion processes with an application to a short-term interest rate model. Econometric Theory 13, 615–645.
    • (1997) Econometric Theory , vol.13 , pp. 615-645
    • Jiang, G.1    Knight, J.2
  • 190
    • 0039990540 scopus 로고    scopus 로고
    • Nonparametric estimation in null recurrent time series
    • Humboldt University, Berlin
    • Karlsen, H., and Tjøstheim, D., 1998. Nonparametric estimation in null recurrent time series. Sonderforschungsbereich 373, 50. Humboldt University, Berlin.
    • (1998) Sonderforschungsbereich 373, 50
    • Karlsen, H.1    Tjøstheim, D.2
  • 191
    • 0035602369 scopus 로고    scopus 로고
    • Nonparametric estimation in null recurrent time series
    • Karlsen, H., and Tjøstheim, D., 2001 Nonparametric estimation in null recurrent time series. Annals of Statistics 29, 372–416.
    • (2001) Annals of Statistics , vol.29 , pp. 372-416
    • Karlsen, H.1    Tjøstheim, D.2
  • 193
    • 21144462756 scopus 로고
    • Locally optimal testing when a nuisance parameter is present only under the alternative
    • King, M. L., and Shively, T., 1993. Locally optimal testing when a nuisance parameter is present only under the alternative. Review of Economics and Statistics 75 1–7.
    • (1993) Review of Economics and Statistics , vol.75 , pp. 1-7
    • King, M.L.1    Shively, T.2
  • 194
    • 0034406376 scopus 로고    scopus 로고
    • Wavelet estimation using Bayesian basis selection and basis averaging
    • Kohn, R., Marron, J., and Yau, P., 2000. Wavelet estimation using Bayesian basis selection and basis averaging. Statistica Sinica 10, 109– 128.
    • (2000) Statistica Sinica , vol.10 , pp. 109-128
    • Kohn, R.1    Marron, J.2    Yau, P.3
  • 196
    • 85057225468 scopus 로고    scopus 로고
    • Bootstrap tests for simple structures in nonparametric time series regression
    • Technische Universität, Braunschweig, Germany
    • Kreiss, J. P., Neumann, M. H., and Yao, Q., 2002. Bootstrap tests for simple structures in nonparametric time series regression. Preprint, Institüt für Mathematische Stochastik, Technische Universität, Braunschweig, Germany.
    • (2002) Preprint, Institüt für Mathematische Stochastik
    • Kreiss, J.P.1    Neumann, M.H.2    Yao, Q.3
  • 198
    • 0000845598 scopus 로고
    • Discrimination between monotonic trends and long-range dependence
    • Künsch, H., 1986. Discrimination between monotonic trends and long-range dependence. Journal of Applied Probability 23, 1025–1030.
    • (1986) Journal of Applied Probability , vol.23 , pp. 1025-1030
    • Künsch, H.1
  • 199
    • 0347573331 scopus 로고    scopus 로고
    • An equality test across nonparametric regressions
    • Lavergne, P., 2001. An equality test across nonparametric regressions. Journal of Econometrics 103, 307–344.
    • (2001) Journal of Econometrics , vol.103 , pp. 307-344
    • Lavergne, P.1
  • 200
    • 0030367481 scopus 로고    scopus 로고
    • Nonparametric selection of regressors: The nonnested case
    • Lavergne, P., and Vuong, Q. H., 1996. Nonparametric selection of regressors: the nonnested case. Econometrica 64, 207–219.
    • (1996) Econometrica , vol.64 , pp. 207-219
    • Lavergne, P.1    Vuong, Q.H.2
  • 201
    • 0034401133 scopus 로고    scopus 로고
    • Nonparametric significance testing
    • Lavergne, P., and Vuong, Q. H., 2000. Nonparametric significance testing. Econometric Theory 16, 576–601.
    • (2000) Econometric Theory , vol.16 , pp. 576-601
    • Lavergne, P.1    Vuong, Q.H.2
  • 202
    • 0000840124 scopus 로고
    • From Stein’s unbiased risk estimates to the method of generalized cross-validation
    • Li, K. C., 1985. From Stein’s unbiased risk estimates to the method of generalized cross-validation. Annals of Statistics 13, 1352–1377.
    • (1985) Annals of Statistics , vol.13 , pp. 1352-1377
    • Li, K.C.1
  • 203
    • 0001182369 scopus 로고
    • L and generalized cross-validation in ridge regression with application to spline smoothing
    • L and generalized cross-validation in ridge regression with application to spline smoothing. Annals of Statistics 14, 1101–1112.
    • (1986) Annals of Statistics , vol.14 , pp. 1101-1112
    • Li, K.C.1
  • 204
    • 0001462696 scopus 로고
    • L, cross-validation and generalized cross-validation: Discrete index set
    • L, cross-validation and generalized cross-validation: discrete index set. Annals of Statistics 15, 958–975.
    • (1987) Annals of Statistics , vol.15 , pp. 958-975
    • Li, K.C.1
  • 206
    • 0000637496 scopus 로고    scopus 로고
    • Consistent model specification tests for time series econometric models
    • Li, Q., 1999. Consistent model specification tests for time series econometric models. Journal of Econometrics 92, 101–147.
    • (1999) Journal of Econometrics , vol.92 , pp. 101-147
    • Li, Q.1
  • 207
    • 0000999239 scopus 로고    scopus 로고
    • Testing serial correlation in semiparametric panel data models
    • Li, Q., and Hsiao, C., 1998. Testing serial correlation in semiparametric panel data models. Journal of Econometrics 87, 207–237.
    • (1998) Journal of Econometrics , vol.87 , pp. 207-237
    • Li, Q.1    Hsiao, C.2
  • 208
    • 0346724417 scopus 로고    scopus 로고
    • Consistent specification tests for semiparametric & nonparametric models based on series estimation methods
    • Li, Q., Hsiao, C., and Zinn, J., 2003. Consistent specification tests for semiparametric & nonparametric models based on series estimation methods. Journal of Econometrics 112, 295–325.
    • (2003) Journal of Econometrics , vol.112 , pp. 295-325
    • Li, Q.1    Hsiao, C.2    Zinn, J.3
  • 210
    • 0346937817 scopus 로고    scopus 로고
    • A simple consistent bootstrap tests for a parametric regression functional form
    • Li, Q., and Wang, S., 1998. A simple consistent bootstrap tests for a parametric regression functional form. Journal of Econometrics 87, 145–165.
    • (1998) Journal of Econometrics , vol.87 , pp. 145-165
    • Li, Q.1    Wang, S.2
  • 211
    • 0036015416 scopus 로고    scopus 로고
    • Semiparametric estimation of partially linear models for dependent data with generated regressors
    • Li, Q., and Wooldridge, J., 2002. Semiparametric estimation of partially linear models for dependent data with generated regressors. Econometric Theory 18, 625–645.
    • (2002) Econometric Theory , vol.18 , pp. 625-645
    • Li, Q.1    Wooldridge, J.2
  • 212
    • 2542592512 scopus 로고    scopus 로고
    • Expansions for the distribution of the maximum likelihood estimator of the fractional difference parameter
    • Lieberman, O., and Phillips, P. C. B., 2004. Expansions for the distribution of the maximum likelihood estimator of the fractional difference parameter. Econometric Theory 20, 464–484.
    • (2004) Econometric Theory , vol.20 , pp. 464-484
    • Lieberman, O.1    Phillips, P.C.B.2
  • 213
    • 40549133572 scopus 로고    scopus 로고
    • Expansions for approximate maximum likelihood estimators of the fractional difference parameter
    • Lieberman, O., and Phillips, P. C. B., 2005. Expansions for approximate maximum likelihood estimators of the fractional difference parameter. Econometrics Journal 8, 367–379.
    • (2005) Econometrics Journal , vol.8 , pp. 367-379
    • Lieberman, O.1    Phillips, P.C.B.2
  • 214
    • 33644918840 scopus 로고    scopus 로고
    • Testing for a linear MA model against threshold MA models
    • Ling, S., and Tong, H., 2005. Testing for a linear MA model against threshold MA models. Annals of Statistics 33, 2529–2552.
    • (2005) Annals of Statistics , vol.33 , pp. 2529-2552
    • Ling, S.1    Tong, H.2
  • 215
    • 0001704005 scopus 로고    scopus 로고
    • Efficient estimation of additive nonparametric regression models
    • Linton, O. B., 1997. Efficient estimation of additive nonparametric regression models. Biometrika 84, 469–473.
    • (1997) Biometrika , vol.84 , pp. 469-473
    • Linton, O.B.1
  • 216
    • 0034373699 scopus 로고    scopus 로고
    • Efficient estimation of generalized additive nonparametric regression models
    • Linton, O. B., 2000. Efficient estimation of generalized additive nonparametric regression models. Econometric Theory 16, 502–523.
    • (2000) Econometric Theory , vol.16 , pp. 502-523
    • Linton, O.B.1
  • 217
    • 0035602663 scopus 로고    scopus 로고
    • q norm: The curse of fractionality
    • q norm: the curse of fractionality. Econometric Theory 17, 1037– 1050.
    • (2001) Econometric Theory , vol.17 , pp. 1037-1050
    • Linton, O.B.1
  • 218
    • 0000346456 scopus 로고    scopus 로고
    • Estimation of additive regression models with known links
    • Linton, O. B., and Härdle, W., 1996. Estimation of additive regression models with known links. Biometrika 83, 529–540.
    • (1996) Biometrika , vol.83 , pp. 529-540
    • Linton, O.B.1    Härdle, W.2
  • 219
    • 27744514787 scopus 로고    scopus 로고
    • Estimation in semiparametric ARCH(∞) models by kernel smoothing methods
    • Linton, O. B., and Mammen, E., 2005. Estimation in semiparametric ARCH(∞) models by kernel smoothing methods. Econometrica 73, 1001–1030.
    • (2005) Econometrica , vol.73 , pp. 1001-1030
    • Linton, O.B.1    Mammen, E.2
  • 220
    • 0033233743 scopus 로고    scopus 로고
    • The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
    • Mammen, E., Linton, O. B., and Nielsen, J. P., 1999. The existence and asymptotic properties of a backfitting projection algorithm under weak conditions. Annals of Statistics 27, 1443-1490.
    • (1999) Annals of Statistics , vol.27 , pp. 1443-1490
    • Mammen, E.1    Linton, O.B.2    Nielsen, J.P.3
  • 221
    • 0000501589 scopus 로고
    • Fractional Brownian motion, fractional noises and applications
    • Mandelbrot, B., and Van Ness, J., 1968. Fractional Brownian motion, fractional noises and applications. SIAM Review 10, 422–437.
    • (1968) SIAM Review , vol.10 , pp. 422-437
    • Mandelbrot, B.1    van Ness, J.2
  • 222
    • 84974185463 scopus 로고
    • Nonparametric estimation and identification of nonlinear ARCH time series
    • Masry, E., and Tjøstheim, D., 1995. Nonparametric estimation and identification of nonlinear ARCH time series. Econometric Theory 11, 258–289.
    • (1995) Econometric Theory , vol.11 , pp. 258-289
    • Masry, E.1    Tjøstheim, D.2
  • 223
    • 0031482212 scopus 로고    scopus 로고
    • Additive nonlinear ARX time series and projection estimates
    • Masry, E., and Tjøstheim, D., 1997. Additive nonlinear ARX time series and projection estimates. Econometric Theory 13, 214–252.
    • (1997) Econometric Theory , vol.13 , pp. 214-252
    • Masry, E.1    Tjøstheim, D.2
  • 224
    • 0015602539 scopus 로고
    • The theory of rational option pricing
    • Merton, R. C., 1973. The theory of rational option pricing. Bell Journal of Economics, 4, 141–183.
    • (1973) Bell Journal of Economics , vol.4 , pp. 141-183
    • Merton, R.C.1
  • 225
    • 12144287086 scopus 로고    scopus 로고
    • Nonstationarities in financial time series, the long–range dependence and the IGARCH effects
    • Mikosch, T., and Starica, C., 2004. Nonstationarities in financial time series, the long–range dependence and the IGARCH effects. Review of Economics and Statistics, 86, 378–390.
    • (2004) Review of Economics and Statistics , vol.86 , pp. 378-390
    • Mikosch, T.1    Starica, C.2
  • 226
    • 0142138096 scopus 로고    scopus 로고
    • Bias reduction in nonparametric diffusion coefficient estimation
    • Nicolau, J., 2003. Bias reduction in nonparametric diffusion coefficient estimation. Econometric Theory 19, 754–777.
    • (2003) Econometric Theory , vol.19 , pp. 754-777
    • Nicolau, J.1
  • 227
    • 0038102088 scopus 로고    scopus 로고
    • An optimization interpretation of integration and back–fitting estimators for separable nonparametric models
    • Nielsen, J. P., and Linton, O. B., 1998. An optimization interpretation of integration and back–fitting estimators for separable nonparametric models. Journal of the Royal Statistical Society Series B 60, 217–222.
    • (1998) Journal of the Royal Statistical Society Series B , vol.60 , pp. 217-222
    • Nielsen, J.P.1    Linton, O.B.2
  • 228
    • 0141530593 scopus 로고    scopus 로고
    • Edgeworth expansions for semiparametric averaged derivatives
    • Nishiyama, Y., and Robinson, P., 2000. Edgeworth expansions for semiparametric averaged derivatives. Econometrica 68, 931–980.
    • (2000) Econometrica , vol.68 , pp. 931-980
    • Nishiyama, Y.1    Robinson, P.2
  • 229
    • 27744577028 scopus 로고    scopus 로고
    • The bootstrap and the Edgeworth correction for semiparametric averaged derivatives
    • Nishiyama, Y., and Robinson, P., 2005. The bootstrap and the Edgeworth correction for semiparametric averaged derivatives. Econometrica 73, 903–948.
    • (2005) Econometrica , vol.73 , pp. 903-948
    • Nishiyama, Y.1    Robinson, P.2
  • 231
    • 0012846557 scopus 로고    scopus 로고
    • Nonlinear regressions with integrated time series
    • Park, J., and Phillips, P. C. B., 2001. Nonlinear regressions with integrated time series. Econometrica 69, 117–162.
    • (2001) Econometrica , vol.69 , pp. 117-162
    • Park, J.1    Phillips, P.C.B.2
  • 232
    • 0000308535 scopus 로고
    • Time series regression with a unit root
    • Phillips, P. C. B., 1987. Time series regression with a unit root. Econometrica 55, 277–302.
    • (1987) Econometrica , vol.55 , pp. 277-302
    • Phillips, P.C.B.1
  • 235
    • 0032357549 scopus 로고    scopus 로고
    • Nonparametric density estimation and tests of continuous time interest rate models
    • Pritsker, M., 1998. Nonparametric density estimation and tests of continuous time interest rate models. Review of Financial Studies 11, 449–487.
    • (1998) Review of Financial Studies , vol.11 , pp. 449-487
    • Pritsker, M.1
  • 236
    • 0000218602 scopus 로고
    • Root–N–consistent semiparametric regression
    • Robinson, P. M., 1988. Root–N–consistent semiparametric regression. Econometrica 56, 931–964.
    • (1988) Econometrica , vol.56 , pp. 931-964
    • Robinson, P.M.1
  • 237
    • 0000098278 scopus 로고
    • Hypothesis testing in semiparametric and nonparametric models for econometric time series
    • Robinson, P. M., 1989. Hypothesis testing in semiparametric and nonparametric models for econometric time series. Review of Economic Studies 56, 511–534.
    • (1989) Review of Economic Studies , vol.56 , pp. 511-534
    • Robinson, P.M.1
  • 239
    • 0000668540 scopus 로고
    • Log-periodogram regression of time series with long-range dependence
    • Robinson, P. M., 1995a. Log-periodogram regression of time series with long-range dependence. Annals of Statistics 23, 1048–1072.
    • (1995) Annals of Statistics , vol.23 , pp. 1048-1072
    • Robinson, P.M.1
  • 240
    • 21344446855 scopus 로고
    • Gaussiaan semiparametric estimation of long– range dependence
    • Robinson, P. M., 1995b. Gaussiaan semiparametric estimation of long– range dependence. Annals of Statistics 23, 1630–1661.
    • (1995) Annals of Statistics , vol.23 , pp. 1630-1661
    • Robinson, P.M.1
  • 241
    • 0031524928 scopus 로고    scopus 로고
    • Large-sample inference for nonparametric regression with dependent errors
    • Robinson, P. M., 1997. Large-sample inference for nonparametric regression with dependent errors. Annals of Statistics 25, 2054–2083.
    • (1997) Annals of Statistics , vol.25 , pp. 2054-2083
    • Robinson, P.M.1
  • 242
    • 0000230520 scopus 로고    scopus 로고
    • The memory of stochastic volatility models
    • Robinson, P. M., 2001. The memory of stochastic volatility models. Journal of Econometrics 101, 195–218.
    • (2001) Journal of Econometrics , vol.101 , pp. 195-218
    • Robinson, P.M.1
  • 243
    • 4544349994 scopus 로고    scopus 로고
    • Robinson, P. M. (ed.), Advanced Texts in Econometrics. Oxford University Press, Oxford
    • Robinson, P. M. (ed.), 2003. Time series with long memory. Advanced Texts in Econometrics. Oxford University Press, Oxford.
    • (2003) Time Series with Long Memory
  • 244
    • 24144438201 scopus 로고    scopus 로고
    • The distance between rival nonstationarity fractional processes
    • Robinson, P. M., 2005. The distance between rival nonstationarity fractional processes. Journal of Econometrics 128, 283–300.
    • (2005) Journal of Econometrics , vol.128 , pp. 283-300
    • Robinson, P.M.1
  • 245
    • 0032523276 scopus 로고    scopus 로고
    • Nonlinear time series with long memory: A model for stochastic volatility
    • Robinson, P. M., and Zaffaroni, P., 1998. Nonlinear time series with long memory: a model for stochastic volatility. Journal of Statistical Planning & Inference 68, 359–371.
    • (1998) Journal of Statistical Planning & Inference , vol.68 , pp. 359-371
    • Robinson, P.M.1    Zaffaroni, P.2
  • 246
    • 0004267646 scopus 로고
    • Princeton University Press, New Jersey
    • Rockafeller, R. T., 1970. Convex Analysis. Princeton University Press, New Jersey.
    • (1970) Convex Analysis
    • Rockafeller, R.T.1
  • 247
    • 84948295815 scopus 로고
    • Moment inequalities for mixing sequences of random variables
    • Roussas, G., and Ioannides, D., 1987. Moment inequalities for mixing sequences of random variables. Stochastic Analysis and Applications 5, 61–120.
    • (1987) Stochastic Analysis and Applications , vol.5 , pp. 61-120
    • Roussas, G.1    Ioannides, D.2
  • 249
    • 21144467148 scopus 로고
    • Exploring regression structure using nonparametric functional estimation
    • Samarov, A. M., 1993. Exploring regression structure using nonparametric functional estimation. Journal of the American Statistical Association 423, 836–847.
    • (1993) Journal of the American Statistical Association , Issue.423 , pp. 836-847
    • Samarov, A.M.1
  • 252
    • 0642336882 scopus 로고    scopus 로고
    • An asymptotic theory for linear model selection
    • with comments
    • Shao, J., 1997. An asymptotic theory for linear model selection (with comments). Statistica Sinica 7, 221–264.
    • (1997) Statistica Sinica , vol.7 , pp. 221-264
    • Shao, J.1
  • 254
    • 26444501037 scopus 로고    scopus 로고
    • Exact local Whittle estimation of fractional integration
    • Shimotsu, K., and Phillips, P. C. B., 2005. Exact local Whittle estimation of fractional integration. Annals of Statistics 33, 1890–1933.
    • (2005) Annals of Statistics , vol.33 , pp. 1890-1933
    • Shimotsu, K.1    Phillips, P.C.B.2
  • 255
    • 31344441177 scopus 로고    scopus 로고
    • Local Whittle estimation of fractional integration and some of its variants
    • Shimotsu, K., and Phillips, P. C. B., 2006. Local Whittle estimation of fractional integration and some of its variants. Journal of Econometrics 130, 209–233.
    • (2006) Journal of Econometrics , vol.130 , pp. 209-233
    • Shimotsu, K.1    Phillips, P.C.B.2
  • 257
    • 0042595678 scopus 로고    scopus 로고
    • A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
    • Shively, T., and Kohn, R., 1997. A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models. Journal of Econometrics 76, 39–52.
    • (1997) Journal of Econometrics , vol.76 , pp. 39-52
    • Shively, T.1    Kohn, R.2
  • 258
    • 0010016913 scopus 로고
    • Testing for linearity in a semiparametric regression model
    • Shively, T., Kohn, R., and Ansley, C. F., 1994. Testing for linearity in a semiparametric regression model. Journal of Econometrics 64, 7–96.
    • (1994) Journal of Econometrics , vol.64 , pp. 7-96
    • Shively, T.1    Kohn, R.2    Ansley, C.F.3
  • 259
    • 0000307942 scopus 로고    scopus 로고
    • Variable selection and function estimation in additive nonparametric regression using a databased prior. With comments and a rejoinder by the authors
    • Shively, T., Kohn, R., and Wood, S., 1999. Variable selection and function estimation in additive nonparametric regression using a databased prior. With comments and a rejoinder by the authors. Journal of the American Statistical Association 94, 777–806.
    • (1999) Journal of the American Statistical Association , vol.94 , pp. 777-806
    • Shively, T.1    Kohn, R.2    Wood, S.3
  • 261
    • 0036004262 scopus 로고    scopus 로고
    • Nonparametric estimation and testing of interaction in additive models
    • Sperlich, S., Tjøstheim, D., and Yang, L., 2002. Nonparametric estimation and testing of interaction in additive models. Econometric Theory 18, 197–251.
    • (2002) Econometric Theory , vol.18 , pp. 197-251
    • Sperlich, S.1    Tjøstheim, D.2    Yang, L.3
  • 262
    • 0011815682 scopus 로고    scopus 로고
    • A nonparametric model of term structure dynamics and the market price of interest rate risk
    • Stanton, R., 1997. A nonparametric model of term structure dynamics and the market price of interest rate risk. Journal of Finance 52, 1973–2002.
    • (1997) Journal of Finance , vol.52 , pp. 1973-2002
    • Stanton, R.1
  • 264
    • 0000859675 scopus 로고
    • An asymptotic equivalence of choice of model by cross-validation and Akaike’s criterion
    • Stone, M., 1977. An asymptotic equivalence of choice of model by cross-validation and Akaike’s criterion. Journal of the Royal Statistical Society Series B 39, 44–47.
    • (1977) Journal of the Royal Statistical Society Series B , vol.39 , pp. 44-47
    • Stone, M.1
  • 265
    • 0031520116 scopus 로고    scopus 로고
    • Nonparametric model checks for regression
    • Stute, W., 1997. Nonparametric model checks for regression. Annals of Statistics 25, 613–641.
    • (1997) Annals of Statistics , vol.25 , pp. 613-641
    • Stute, W.1
  • 266
    • 0032271144 scopus 로고    scopus 로고
    • Model checks for regression: An innovation process approach
    • Stute, W., Thies, S., and Zhu, L., 1998. Model checks for regression: an innovation process approach. Annals of Statistics 26, 1916–1934.
    • (1998) Annals of Statistics , vol.26 , pp. 1916-1934
    • Stute, W.1    Thies, S.2    Zhu, L.3
  • 267
    • 0035995081 scopus 로고    scopus 로고
    • Model checks for generalized linear models
    • Stute, W., and Zhu, L., 2002. Model checks for generalized linear models. Scandinavian Journal of Statistics 29, 535–545.
    • (2002) Scandinavian Journal of Statistics , vol.29 , pp. 535-545
    • Stute, W.1    Zhu, L.2
  • 268
    • 23744440060 scopus 로고    scopus 로고
    • Nonparametric checks for single-index models
    • Stute, W., and Zhu, L., 2005. Nonparametric checks for single-index models. Annals of Statistics 33, 1048–1083.
    • (2005) Annals of Statistics , vol.33 , pp. 1048-1083
    • Stute, W.1    Zhu, L.2
  • 269
    • 0347985224 scopus 로고    scopus 로고
    • Nonlinear log–periodogram regression for perturbed fractional processes
    • Sun, Y., and Phillips, P. C. B., 2003. Nonlinear log–periodogram regression for perturbed fractional processes. Journal of Econometrics 115, 355–389.
    • (2003) Journal of Econometrics , vol.115 , pp. 355-389
    • Sun, Y.1    Phillips, P.C.B.2
  • 270
    • 0009751460 scopus 로고    scopus 로고
    • Continuous–time methods in finance: A review and an assessment
    • Sundaresan, S., 2001. Continuous–time methods in finance: a review and an assessment. Journal of Finance 55, 1569–1622.
    • (2001) Journal of Finance , vol.55 , pp. 1569-1622
    • Sundaresan, S.1
  • 273
    • 84986754945 scopus 로고
    • Modelling stochastic volatility: A review and comparative study
    • Taylor, S. J., 1994. Modelling stochastic volatility: a review and comparative study. Mathematical Finance 4, 183–204.
    • (1994) Mathematical Finance , vol.4 , pp. 183-204
    • Taylor, S.J.1
  • 275
  • 278
    • 84950945751 scopus 로고
    • Nonparametric identification of nonlinear time series: Selecting significant lags
    • Tjøstheim, D., and Auestad, B., 1994b. Nonparametric identification of nonlinear time series: selecting significant lags. Journal of the American Statistical Association 89, 1410–1419.
    • (1994) Journal of the American Statistical Association , vol.89 , pp. 1410-1419
    • Tjøstheim, D.1    Auestad, B.2
  • 279
    • 27644509561 scopus 로고
    • Fitting a smooth moving average to noisy data
    • IT-26
    • Tong, H., 1976. Fitting a smooth moving average to noisy data. IEEE Transactions on Information Theory, IT-26, 493–496.
    • (1976) IEEE Transactions on Information Theory , pp. 493-496
    • Tong, H.1
  • 280
    • 0003566072 scopus 로고
    • Oxford University Press, Oxford
    • Tong, H., 1990. Nonlinear Time Series. Oxford University Press, Oxford.
    • (1990) Nonlinear Time Series
    • Tong, H.1
  • 282
    • 85100687359 scopus 로고    scopus 로고
    • Second Edition. Wiley Interscience, Hoboken, New Jersey
    • Tsay, R., 2005. Analysis of Financial Time Series. Second Edition. Wiley Interscience, Hoboken, New Jersey.
    • (2005) Analysis of Financial Time Series
    • Tsay, R.1
  • 283
    • 0000069295 scopus 로고    scopus 로고
    • Nonparametric lag selection for time series
    • Tschernig, R., and Yang, L., 2000. Nonparametric lag selection for time series. Journal of Time Series Analysis 21, 457–487.
    • (2000) Journal of Time Series Analysis , vol.21 , pp. 457-487
    • Tschernig, R.1    Yang, L.2
  • 284
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
    • Vasicek, O., 1977. An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177–188.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.1
  • 286
    • 0000998341 scopus 로고
    • Long-range dependence and mixing for discrete time fractional processes
    • Viano, M., Deniau, C., and Oppenheim, G., 1995. Long-range dependence and mixing for discrete time fractional processes. Journal of Time Series Analysis 16, 323–338.
    • (1995) Journal of Time Series Analysis , vol.16 , pp. 323-338
    • Viano, M.1    Deniau, C.2    Oppenheim, G.3
  • 287
    • 38149147674 scopus 로고
    • Choice of regressors in nonparametric estimation
    • Vieu, P., 1994. Choice of regressors in nonparametric estimation. Computational Statistics & Data Analysis 17, 575–594.
    • (1994) Computational Statistics & Data Analysis , vol.17 , pp. 575-594
    • Vieu, P.1
  • 288
    • 84963436542 scopus 로고
    • Order choice in nonlinear autoregressive models
    • Vieu, P., 1995. Order choice in nonlinear autoregressive models. Statistics 26, 307–328.
    • (1995) Statistics , vol.26 , pp. 307-328
    • Vieu, P.1
  • 289
    • 0036765938 scopus 로고    scopus 로고
    • Data–driven model choice in multivariate nonparametric regression
    • Vieu, P., 2002. Data–driven model choice in multivariate nonparametric regression. Statistics 36, 231–245.
    • (2002) Statistics , vol.36 , pp. 231-245
    • Vieu, P.1
  • 290
    • 0000450226 scopus 로고
    • Improper priors, spline smoothing and the problem of guarding against model errors in regression
    • Wahba, G., 1978. Improper priors, spline smoothing and the problem of guarding against model errors in regression. Journal of the Royal Statistical Society Series B 40, 364–372.
    • (1978) Journal of the Royal Statistical Society Series B , vol.40 , pp. 364-372
    • Wahba, G.1
  • 293
    • 0041457793 scopus 로고    scopus 로고
    • Consistent bootstrap tests of parametric regression functions
    • Whang, Y. J., 2000. Consistent bootstrap tests of parametric regression functions. Journal of Econometrics 98, 27–46.
    • (2000) Journal of Econometrics , vol.98 , pp. 27-46
    • Whang, Y.J.1
  • 294
    • 38249003631 scopus 로고
    • Tests of specification for parametric and semiparametric models
    • Whang, Y. J., and Andrews, D. W. K., 1993. Tests of specification for parametric and semiparametric models. Journal of Econometrics 57, 277–318.
    • (1993) Journal of Econometrics , vol.57 , pp. 277-318
    • Whang, Y.J.1    Andrews, D.W.K.2
  • 295
    • 0001372964 scopus 로고    scopus 로고
    • A Bayesian approach to esti-mating and forecasting additive nonparametric autoregressive models
    • Wong, C. M., and Kohn, R., 1996. A Bayesian approach to esti-mating and forecasting additive nonparametric autoregressive models. Journal of Time Series Analysis 17, 203–220.
    • (1996) Journal of Time Series Analysis , vol.17 , pp. 203-220
    • Wong, C.M.1    Kohn, R.2
  • 296
    • 3843149220 scopus 로고    scopus 로고
    • Efficient estimation of covariance selection models
    • Wong, F., Carter, C., and Kohn, R., 2003. Efficient estimation of covariance selection models. Biometrika 90, 809–830.
    • (2003) Biometrika , vol.90 , pp. 809-830
    • Wong, F.1    Carter, C.2    Kohn, R.3
  • 298
    • 84971946984 scopus 로고
    • A test for functional form against nonparametric alternatives
    • Wooldridge, J., 1992. A test for functional form against nonparametric alternatives. Econometric Theory 8, 452–475.
    • (1992) Econometric Theory , vol.8 , pp. 452-475
    • Wooldridge, J.1
  • 299
    • 1842435075 scopus 로고    scopus 로고
    • A goodness-of-fit test for single-index models (With comments)
    • Xia, Y., Li, W. K., Tong, H., and Zhang, D., 2004. A goodness-of-fit test for single-index models (with comments). Statistica Sinica 14, 1–39.
    • (2004) Statistica Sinica , vol.14 , pp. 1-39
    • Xia, Y.1    Li, W.K.2    Tong, H.3    Zhang, D.4
  • 300
    • 0011336701 scopus 로고    scopus 로고
    • On extended partially linear single–index models
    • Xia, Y., Tong, H., and Li, W. K., 1999. On extended partially linear single–index models. Biometrika 86, 831–842.
    • (1999) Biometrika , vol.86 , pp. 831-842
    • Xia, Y.1    Tong, H.2    Li, W.K.3
  • 302
    • 0036660591 scopus 로고    scopus 로고
    • Direct estimation in an additive model when the components are proportional
    • Yang, L., 2002. Direct estimation in an additive model when the components are proportional. Statistica Sinica 12, 801–821.
    • (2002) Statistica Sinica , vol.12 , pp. 801-821
    • Yang, L.1
  • 303
    • 31344462195 scopus 로고    scopus 로고
    • A semiparametric GARCH model for foreign exchange volatility
    • Yang, L., 2006. A semiparametric GARCH model for foreign exchange volatility. Journal of Econometrics 130, 365–384.
    • (2006) Journal of Econometrics , vol.130 , pp. 365-384
    • Yang, L.1
  • 304
    • 0036027154 scopus 로고    scopus 로고
    • Non– and semiparametric identification of seasonal nonlinear autoregression models
    • Yang, L., and Tschernig, R., 2002. Non– and semiparametric identification of seasonal nonlinear autoregression models. Econometric Theory 18, 1408–1448.
    • (2002) Econometric Theory , vol.18 , pp. 1408-1448
    • Yang, L.1    Tschernig, R.2
  • 305
    • 0346208510 scopus 로고    scopus 로고
    • Model selection for nonparametric regression
    • Yang, Y., 1999. Model selection for nonparametric regression. Statistica Sinica 9, 475–500.
    • (1999) Statistica Sinica , vol.9 , pp. 475-500
    • Yang, Y.1
  • 306
    • 0003080582 scopus 로고
    • On subset selection in nonparametric stochastic regression
    • Yao, Q., and Tong, H., 1994. On subset selection in nonparametric stochastic regression. Statistica Sinica 4, 51–70.
    • (1994) Statistica Sinica , vol.4 , pp. 51-70
    • Yao, Q.1    Tong, H.2
  • 307
    • 84971904258 scopus 로고
    • Nonparametric regression tests based on least squares
    • Yatchew, A. J., 1992. Nonparametric regression tests based on least squares. Econometric Theory 8, 435–451.
    • (1992) Econometric Theory , vol.8 , pp. 435-451
    • Yatchew, A.J.1
  • 308
    • 0345832334 scopus 로고    scopus 로고
    • Estimation and variable selection in nonparametric heteroscedastic regression
    • Yau, P., and Kohn, R., 2003. Estimation and variable selection in nonparametric heteroscedastic regression. Statistics & Computing 13, 191–208.
    • (2003) Statistics & Computing , vol.13 , pp. 191-208
    • Yau, P.1    Kohn, R.2
  • 309
    • 0037352633 scopus 로고    scopus 로고
    • Bayesian variable selection and model averaging in high-dimensional multinomial nonparametric regression
    • Yau, P., Kohn, R., and Wood, S., 2003. Bayesian variable selection and model averaging in high-dimensional multinomial nonparametric regression. Journal of Computational & Graphical Statistics 12, 23– 54.
    • (2003) Journal of Computational & Graphical Statistics , vol.12 , pp. 23-54
    • Yau, P.1    Kohn, R.2    Wood, S.3
  • 310
    • 0742289079 scopus 로고    scopus 로고
    • A power comparison between nonparametric regression tests
    • Zhang, C. M., and Dette, H., 2004. A power comparison between nonparametric regression tests. Statistics & Probability Letters 66, 289– 301.
    • (2004) Statistics & Probability Letters , vol.66 , pp. 289-301
    • Zhang, C.M.1    Dette, H.2
  • 311
    • 0012422036 scopus 로고
    • Variable selection in nonparametric regression with continuous covariates
    • Zhang, P., 1991. Variable selection in nonparametric regression with continuous covariates. Annals of Statistics 19, 1869–1882.
    • (1991) Annals of Statistics , vol.19 , pp. 1869-1882
    • Zhang, P.1
  • 312
    • 21144472438 scopus 로고
    • Model selection via multifold cross–validation
    • Zhang, P., 1993. Model selection via multifold cross–validation. Annals of Statistics 21, 299–313.
    • (1993) Annals of Statistics , vol.21 , pp. 299-313
    • Zhang, P.1
  • 313
    • 0000617856 scopus 로고    scopus 로고
    • A consistent test of functional form via nonparametric estimation techniques
    • Zheng, J. X., 1996. A consistent test of functional form via nonparametric estimation techniques. Journal of Econometrics 75, 263–289.
    • (1996) Journal of Econometrics , vol.75 , pp. 263-289
    • Zheng, J.X.1
  • 315
    • 0031524613 scopus 로고    scopus 로고
    • A consistent variable selection criterion for linear models with high–dimensional covariates
    • Zheng, X., and Loh, W. Y., 1997. A consistent variable selection criterion for linear models with high–dimensional covariates. Statistica Sinica 7, 311–325.
    • (1997) Statistica Sinica , vol.7 , pp. 311-325
    • Zheng, X.1    Loh, W.Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.