Sieve inference on possibly misspecified semi-nonparametric time series models

59 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds (2019, unknown): “The asymptotic properties of these tests are derived from the results of Chen, Liao, and Sun (2014) with modifications in the spirit of Hodrick (1992) to account for serial correlation in multi-horizon returns.”
An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves (2017, background): “Geman and Hwang (1982) proposed a general approximation of the likelihood on the parameters’ subspaces or sieves and established consistency results, see also Grenander (1981), Chen and Shen (1998), and Chen, Liao, and Sun (2014) for the theory of sieves.”
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions (2014, methodology): “Assumption 9 corresponds to Assumption 3.1 in Chen et al. (2014) and Assumption 2.1 in Chen and Liao (2014) for irregular functionals.”