ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION

By Qiying Wang, Peter C. B. Phillips. Econometric Theory, 2009

214 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/06be3873fb960c7329732899bbbd2d91c16db6c7

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Citations in the corpus

Estimation for single-index and partially linear single-index integrated models (2016, methodology): “…is a particular H -regular function while an integrable function belongs to I -regular functions, studied by Park and Phillips (1999, 2001), Wang and Phillips (2009a), in a third stage we extend model (1.1) using a known H -regular function to substitute the linear function, in order to…”
Transition Modeling and Econometric Convergence Tests (2007, background): “…stochastic processes are still largely unexplored and there is no general asymptotic theory to which we may appeal, although some specific results for Markov models have been obtained in work by Phillips and Park (1998), Guerre(2004), Karlsen and Tj /ostheim (2001), and Wang and Phillips (2006).”
NONPARAMETRIC IDENTIFICATION USING INSTRUMENTAL VARIABLES: SUFFICIENT CONDITIONS FOR COMPLETENESS (2011, background): “a Hilbert space (section 9 and 10 of chapter 1 in Young (2001) and Gurarij and Meletidi (1970)) to show that (1) if the deviation of the conditional density f(x|zk) from a known complete sequence of functions is less than a sequence of values determined by the complete sequence in some distinct sequ”
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates (2013, background): “The proof of Equation (14) employs generalized versions of limit results for fractionally integrated processes developed in Wang and Phillips (2009a) that we have collected in Theorem 6.”
Estimating Smooth Structural Change in Cointegration Models (2017, unknown): “Most recently, therefore, attention has been given to ﬂexible nonparametric and semiparametric approaches that can cope with the unknown functional form of responses in a nonstationary time series setting (Karlsen et al , 2007; Wang and Phillips, 2009a, 2009b, 2015; Gao and Phillips, 2013a).”
Specification testing in nonlinear and nonstationary time series autoregression (2009, background): “…Park and Phillips (2001) on parametric nonlinear regression, Bandi and Phillips (2003) on nonparametric estimation of nonstationary diffusion models, Wang and Phillips (2009) on nonparametric kernel estimation of random walk processes, and Karlsen, Myklebust and Tjøstheim (2007) on nonparametric…”