Kernel-based Inference in time-varying coefficient cointegrating regression

Kernel-based Inference in time-varying coefficient cointegrating regression

This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the...

Saved in:

書目詳細資料
Main Authors:	LI, Degui, PHILLIPS, Peter C. B., GAO, Jiti
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2020
主題:	Cointegration FM-kernel estimation Generalized Wald test Global rotation Kernel degeneracy Local rotation Super-consistency Time-varying coefficients Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2386 https://ink.library.smu.edu.sg/context/soe_research/article/3385/viewcontent/Kernel_based_Inference_time_varying_ccr_sv.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
由: LI, Degui, et al.
出版: (2016)

Estimating smooth structural change in cointegration models
由: Peter C. B. PHILLIPS,, et al.
出版: (2017)

When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
由: PHILLIPS, Peter C. B., et al.
出版: (2023)

Adaptive semi-varying coefficient model selection
由: Hu, T., et al.
出版: (2014)

A new approach to robust inference in cointegration
由: JIN, Sainan, et al.
出版: (2005)

On the Number of Quasi-Kernels in Digraphs
由: Gutin, G., et al.
出版: (2014)

Long Run Variance Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
由: PHILLIPS, Peter C. B., et al.
出版: (2007)

Semiparametric Varying-coefficient Model for Interval Censored Data with a Cured Proportion
由: SHAO FANG
出版: (2013)

Bayesian Approaches For Image Restoration
由: YU WEIMIAO
出版: (2010)

Are mortgage and capital markets integrated in the USA? A study of time-varying cointegration
由: Wong, W.-K., et al.
出版: (2011)

Rank Inferences for The Accelerated Failure Time Models
由: ZHOU FANG
出版: (2014)

Shrinkage estimation of the varying coefficient model
由: Wang, H., et al.
出版: (2014)

Multilevel modeling using spatial processes: Application to the Singapore housing market
由: Gelfand, A.E., et al.
出版: (2013)

Cointegrating Rank Selection in Models with Time-Varying Variance
由: CHENG, Xu, et al.
出版: (2012)

Structural Nonparametric Cointegrating Regression
由: Wang, Q. Y., et al.
出版: (2009)

Twicing local linear kernel regression smoothers
由: Zhang, W., et al.
出版: (2014)

Dimensionality reduction by kernel CCA in reproducing kernel hilbert spaces
由: ZHU XIAOFENG
出版: (2010)

Robust Nonparametric Regression Using Kernel Smoothing
由: ZHANG XIAOE
出版: (2010)

Compactly supported basis functions as support vector kernels for classification
由: Wittek, P., et al.
出版: (2013)

Online Multiple Kernel Regression
由: SAHOO, Doyen, et al.
出版: (2014)

An Ensemble of Kernel Ridge Regression for Multi-class Classification
由: Suganthan, Ponnuthurai Nagaratnam, et al.
出版: (2018)

Non-uniform multiple kernel learning with cluster-based gating functions
由: Mu, Y., et al.
出版: (2014)

Norming rates and limit theory for some time-varying coefficient autoregressions
由: LIEBERMAN, Offer, et al.
出版: (2014)

Restoring particle consistency in smoothed particle hydrodynamics
由: Liu, M.B., et al.
出版: (2014)

Probability density function estimation using gamma kernels
由: Chen, S.X.
出版: (2014)

A fast dual algorithm for kernel logistic regression
由: Keerthi, S.S., et al.
出版: (2014)

Bayesian Varying-Coefficient Model with Missing Data
由: HUANG ZHIPENG
出版: (2013)

Learning the unified Kernel machines for classification
由: HOI, Steven C. H., et al.
出版: (2006)

Analysis of failure time using threshold regression with semi-parametric varying coefficients
由: Li, J., et al.
出版: (2014)

Large scale online multiple kernel regression with application to time-series prediction
由: SAHOO, Doyen, et al.
出版: (2019)

Theoretical description of a micromaser in the ultrastrong-coupling regime
由: Yu, Deshui, et al.
出版: (2017)

Local linear smoothers using asymmetric kernels
由: Chen, S.X.
出版: (2014)

Hardware-assisted live kernel function updating on Intel platforms
由: ZHOU, Lei, et al.
出版: (2024)

Sparse kernel canonical correlation analysis
由: Chu, D., et al.
出版: (2014)

Fully modified least squares cointegrating parameter estimation in multicointegrated systems
由: KHEIFETS, Igor L., et al.
出版: (2023)

Online Multiple Kernel Classification
由: HOI, Steven C. H., et al.
出版: (2013)

Semiparametric Cointegrating Rank Selection
由: CHENG, Xu, et al.
出版: (2009)

A simple approach for varying-coefficient model selection
由: Leng, C.
出版: (2014)

Compactly supported basis functions as support vector kernels: Capturing feature interdependence in the embedding space
由: PETER WITTEK
出版: (2010)

Improved kernel methods for classification
由: DUAN KAIBO
出版: (2010)