Estimation in Semiparametric Time Series Regression

In this paper, we consider a semiparametric time series regression model and establish a set of identication conditions such that the model under discussion is both identiable and estimable. We then discuss how to estimate a sequence of local alternative functions nonparametrically when the null hypothesis does not hold. An asymptotic theory is established in each case. An empirical application is also included.

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Year of publication:	2010-10
Authors:	GAO, Jiti ; Chen, Jia ; Li, Degui
Institutions:	School of Economics, University of Adelaide

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Extent:	application/pdf
Series:	School of Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2010-27 18 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008683438