Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated time series. The main result provides a convenient basis for developing a limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, providing an alternative approach to the Markov chain and Fourier integral methods that have been used in other recent work on these problems
AbstractThis paper considers the nonparametric M-estimator in a nonlinear cointegration type model. ...
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standa...
In this paper, we define a n-consistent nonparametric estimator for the marginal density function of...
We provide a new asymptotic theory for local time density estimation for a general class of function...
A local limit theorem is proved for sample covariances of nonstationary time se-ries and integrable ...
This paper considers the nonparametric M-estimator in a nonlinear cointegration type model. The loca...
October 2011We deal with nonparametric estimation in a nonlinear cointegration model whose regressor...
The concept of a near-integrated vector random process is introduced. Such processes help us to work...
A local limit theorem is proved for sample covariances of nonstationary time series and integrable f...
AbstractConsider the nonparametric estimation of a multivariate regression function and its derivati...
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time...
Linear cointegration is known to have the important property of invariance un-der temporal translati...
This paper studies nonlinear cointegration models in which the structural coefficients may evolve sm...
This paper studies nonlinear cointegration models in which the structural coefficients may evolve sm...
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standa...
AbstractThis paper considers the nonparametric M-estimator in a nonlinear cointegration type model. ...
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standa...
In this paper, we define a n-consistent nonparametric estimator for the marginal density function of...
We provide a new asymptotic theory for local time density estimation for a general class of function...
A local limit theorem is proved for sample covariances of nonstationary time se-ries and integrable ...
This paper considers the nonparametric M-estimator in a nonlinear cointegration type model. The loca...
October 2011We deal with nonparametric estimation in a nonlinear cointegration model whose regressor...
The concept of a near-integrated vector random process is introduced. Such processes help us to work...
A local limit theorem is proved for sample covariances of nonstationary time series and integrable f...
AbstractConsider the nonparametric estimation of a multivariate regression function and its derivati...
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time...
Linear cointegration is known to have the important property of invariance un-der temporal translati...
This paper studies nonlinear cointegration models in which the structural coefficients may evolve sm...
This paper studies nonlinear cointegration models in which the structural coefficients may evolve sm...
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standa...
AbstractThis paper considers the nonparametric M-estimator in a nonlinear cointegration type model. ...
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standa...
In this paper, we define a n-consistent nonparametric estimator for the marginal density function of...