Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10005122825
Persistent link: https://www.econbiz.de/10005052917
This paper studies estimation and inference of functional coefficient cointegration models. The proposed model offers a more flexible structure of cointegration where the value of cointegrating coefficients may be affected by informative covariates and thus may vary over time. The model may be...
Persistent link: https://www.econbiz.de/10005022938
Quantile regression has important applications in risk management, portfolio optimization, and asset pricing. The current paper studies estimation, inference and financial applications of quantile regression with cointegrated time series. In addition, a new cointegration model with...
Persistent link: https://www.econbiz.de/10005022941
Persistent link: https://www.econbiz.de/10005022990
This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other weather outcomes over the last century. We work with the monthly averaged maximum and minimum temperatures observed at the twenty six Meteorological Office stations. The data is...
Persistent link: https://www.econbiz.de/10009249372
We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both parametric and nonparametric functional coefficients are proposed. In particular, we propose a...
Persistent link: https://www.econbiz.de/10010574075
This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important inference problems including testing stationarity against unit roots, testing for structure change in nonstationary regressions, and testing for cointegration. We analyze these...
Persistent link: https://www.econbiz.de/10010664707
Several widely used tests for a changing mean exhibit nonmonotonic power in finite samples, due to "incorrect" estimation of nuisance parameters under the alternative. In this paper, we study the issue of nonmonotonic power in testing for changing mean. We investigate the asymptotic power...
Persistent link: https://www.econbiz.de/10005228626
Persistent link: https://www.econbiz.de/10005285413