Semiparametric Estimation in Triangular System Equations with Nonstationarity

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...

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Bibliographic Details
Main Authors: GAO, Jiti, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
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
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Institution: Singapore Management University
Language: English
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