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Semiparametric estimation in triangular system equations with nonstationarity

Gao, Jiti; Phillips, Peter C.B. - In: Journal of Econometrics 176 (2013) 1, pp. 59-79

nonstationarity is involved in both sets of regressors. …

Persistent link: https://www.econbiz.de/10010679105

Model selection in the presence of nonstationarity

Kim, Jae-Young - In: Journal of Econometrics 169 (2012) 2, pp. 247-257

This paper studies model selection methods in the presence of nonstationarity. We focus on the Bayesian model selection … criteria in the presence of nonstationarity. In particular, we study the Bayesian model selection rule in detail and derive … three alternative forms of it in the presence of nonstationarity. One important feature of the Bayesian model selection …

Persistent link: https://www.econbiz.de/10011052288

Dynamic misspecification in nonparametric cointegrating regression

Kasparis, Ioannis; Phillips, Peter C.B. - In: Journal of Econometrics 168 (2012) 2, pp. 270-284

Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya–Watson (NW) estimator for cointegrating regression under misspecified lag structure...

Persistent link: https://www.econbiz.de/10011052188

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of Econometrics 185 (2015) 1, pp. 182-195

This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general framework for weak consistency that is easy to apply for various nonstationary time series, including partial sums of linear processes and Harris recurrent Markov chains. We...

Persistent link: https://www.econbiz.de/10011190730

Exact local Whittle estimation of fractionally cointegrated systems

Shimotsu, Katsumi - In: Journal of Econometrics 169 (2012) 2, pp. 266-278

Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (δ1/2) and nonstationary (δ≥1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle...

Persistent link: https://www.econbiz.de/10011052216

Testing for seasonal unit roots by frequency domain regression

Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, A.M. … - In: Journal of Econometrics 178 (2014) P2, pp. 243-258

This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions...

Persistent link: https://www.econbiz.de/10011052225

Random walk or chaos: A formal test on the Lyapunov exponent

Park, Joon Y.; Whang, Yoon-Jae - In: Journal of Econometrics 169 (2012) 1, pp. 61-74

A formal test on the Lyapunov exponent is developed to distinguish a random walk model from a chaotic system, which is based on the Nadaraya–Watson kernel estimator of the Lyapunov exponent. The asymptotic null distribution of our test statistic is free of nuisance parameter, and simply given...

Persistent link: https://www.econbiz.de/10010577524

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of Econometrics 183 (2014) 1, pp. 31-57

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...

Persistent link: https://www.econbiz.de/10011077611

Distribution theory of the least squares averaging estimator

Liu, Chu-An - In: Journal of Econometrics 186 (2015) 1, pp. 142-159

This paper derives the limiting distributions of least squares averaging estimators for linear regression models in a local asymptotic framework. We show that the averaging estimators with fixed weights are asymptotically normal and then develop a plug-in averaging estimator that minimizes the...

Persistent link: https://www.econbiz.de/10011209277

Infinite order cross-validated local polynomial regression

Hall, Peter G.; Racine, Jeffrey S. - In: Journal of Econometrics 185 (2015) 2, pp. 510-525

Many practical problems require nonparametric estimates of regression functions, and local polynomial regression has emerged as a leading approach. In applied settings practitioners often adopt either the local constant or local linear variants, or choose the order of the local polynomial to be...

Persistent link: https://www.econbiz.de/10011190715