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Structural Nonparametric Cointegrating Regression

Wang, Qiying; Phillips, Peter C. B. - 2008

distribution theory is mixed normal, giving simple usable asymptotics in practical work. The results provide a convenient basis for …

Persistent link: https://www.econbiz.de/10014217972

Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression

Duffy, James A. - 2015

Persistent link: https://www.econbiz.de/10011286018

Dynamic misspecification in nonparametric cointegrating regression

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

Persistent link: https://www.econbiz.de/10009612740

Dynamic Misspecification in Nonparametric Cointegrating Regression

Kasparis, Ioannis; Phillips, Peter C. B. - 2009

property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of …Linear cointegration is known to have the important property of invariance under temporal translation. The same … parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the …

Persistent link: https://www.econbiz.de/10014207414

Specification tests indexed by bandwidths

Dette, Holger (contributor); Hetzler, Benjamin (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002363508

Assessing parametric misspecification and heterogeneity in growth regression

Haupt, Harry; Petring, Verena - In: Applied economics letters 18 (2011) 4/6, pp. 389-394

Persistent link: https://www.econbiz.de/10009232987

Nonparametric identification using instrumental variables : sufficient conditions for completeness

Hu, Yingyao; Shiu, Ji-liang - 2011

This paper provides sufficient conditions for the nonparametric identification of the regression function m(.) in a regression model with an endogenous regressor x and an instrumental variable z. It has been shown that the identification of the regression function from the conditional...

Persistent link: https://www.econbiz.de/10009152610

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...

Persistent link: https://www.econbiz.de/10010227452

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2014 - This version: August 8, 2014

In this paper, we consider estimation of general modern moment-condition problems in econometrics in a data-rich environment where there may be many more control variables available than there are observations. The framework we consider allows for a continuum of target parameters and for...

Persistent link: https://www.econbiz.de/10010388633

Variable selection and functional form uncertainty in cross-country growth regressions

Salimans, Tim - 2011

Persistent link: https://www.econbiz.de/10008824707