Estimation theory in a nonstationary environment has been very popular in recent years. Existing studies focus on nonstationarity in parametric linear, parametric nonlinear and nonparametric nonlinear models. In this paper, we consider a partially linear model of nonstationary time series, in...

This paper is concerned with developing a nonparametric time-varying coefficient model with fixed effects to characterize nonstationarity and trending phenomenon in nonlinear panel data analysis. We develop two methods to estimate the trend function and the coefficient function without taking...

In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the so-called refined minimum average variance estimation based on a local linear smoothing method to estimate both the...

In this paper, we consider both estimation and testing problems in a nonlinear time series model with nonstationarity. A nonparametric estimation method is proposed to estimate a sequence of nonparametric “distance functions”. We also propose a test statistic to test whether the regression...

In this paper, we consider a semiparametric time series regression model and establish a set of identification conditions such that the model under discussion is both identifiable and estimable. We then discuss how to estimate a sequence of local alternative functions nonparametrically when the...