Nonparametric estimation in null recurrent time series

By H. A. Karlsen, Dag Tjøstheim. 2001

169 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/eaa21d4b9f99f3e2e24e4169b40fa10fda55f754

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Citations in the corpus

Search for Additive Nonlinear Time Series Causal Models (2008, methodology): “However, recent studies on applying nonparametric regression methods to nonstationary time series data (Phillips and Park, 1998; Karlsen and Tjøstheim, 2001; Bandi and Phillips, 2003; Karlsen et al., 2005) seem promising.”
Nonparametric estimation in a nonlinear cointegration type model (2007, background): “In [21, 22] (hereafter, the Karlsen and Tjøstheim paper [22] is referred to as KT), an asymptotic theory was developed for nonparametric estimation for a nonstationary univariate nonlinear model in the framework of so-called β-null recurrent processes.”
Specification testing in nonlinear and nonstationary time series autoregression (2009, methodology): “Meanwhile, Theorem 3.2 of Karlsen and Tjøstheim (2001), page 389, is applicable to the current case of Xt =Xt−1 + ut under H0 to show that as T →∞ N(T ) L0 √ T →D M1/2(1),(A.53) when the slowly varying function Ls(T ) in this case is Ls(T )≡ L0 = 2 √ 2 3 .”
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION (2009, unknown): “As intimated previously, such functionals commonly arise in nonlinear regression with integrated time series (Park and Phillips, 1999, 2001) and nonparametric estimation in relation to nonlinear cointegration models (Phillips and Park, 1998; Karlsen and Tjøstheim, 2001; Karlsen et al., 2007).”
NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY (2009, methodology): “We still adopt the notations used in Nummelin (1984) and Karlsen and Tjøstheim (2001). Let {Xt, t ≥ 0} be a class of Markov chains with transition probability P and state space (E, E), and φ be a measure on (E, E).”
A Dependence Metric for Possibly Nonlinear Processes (2004, methodology): “The estimate tells us how dense the process is about a particular (spatial) point and in this sense can be interpreted as a form of ‘density’ estimator2 (see also Karlsen and Tjøstheim, 2001).”
Threshold models in time series analysis—Some reflections (2015, background): “Karlsen and Tjøstheim (2001) considered the unit root problem in a nonlinear setting by way of null recurrent time series.”
Nonparametric regression for locally stationary time series (2012, methodology): “Another related model is analyzed in Karlsen & Tjøstheim [14].”
Estimation for single-index and partially linear single-index integrated models (2016, methodology): “…have been studied extensively and improved dramatically as witnessed by the literature, such as those based on the nonparametric kernel approach by Karlsen and Tjøstheim (2001), Karlsen, Myklebust and Tjøstheim (2007), Gao et al. (2009a, 2009b), Phillips (2009), Wang and Phillips (2009a, 2009b,…”
Transition Modeling and Econometric Convergence Tests (2007, unknown): “…it − 1 over t satisfy the panel functional limit laws 1√ T [Tr]X t=1 ξit ⇒ Bi(r) as T →∞ for all i (21) 1√ T [Tr]X t=1 ¡ ξ2it − 1 ¢ ⇒ B2i(r) as T →∞ for all i, (22) where Bi and B2i are independent and form independent sequences of Brownian motions with variances ωii and ω2ii, respectively, over i.”
A specification test for nonlinear nonstationary models (2012, background): “…time series [Park and Phillips (1999, 2001)] and nonparametric estimation of nonlinear cointegration models, many authors [Phillips and Park (1998), Karlsen and Tjøstheim (2001), Karlsen, Myklebust and Tjøstheim (2007), Wang and Phillips (2009a)] have used or proved weak convergence to the local…”