Semiparametric Estimation in Triangular System Equations with Nonstationarity

• Main Authors: GAO, Jiti, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Endogeneity; Integrated process; Nonstationarity; Partial linear model; Simultaneity; Vector semiparametric regression; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1827; https://ink.library.smu.edu.sg/context/soe_research/article/2826/viewcontent/SemiparametricEstimationTriangularSystem.pdf
• Institution: Singapore Management University

A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly exogenou...