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Nonparametric Specification Testing For Nonlinear Time Series With Nonstationarity

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Cited by:

  1. Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
  2. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
  3. Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015. "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
  4. Yu-ting Bai & Xiao-yi Wang & Qian Sun & Xue-bo Jin & Xiao-kai Wang & Ting-li Su & Jian-lei Kong, 2019. "Spatio-Temporal Prediction for the Monitoring-Blind Area of Industrial Atmosphere Based on the Fusion Network," IJERPH, MDPI, vol. 16(20), pages 1-15, October.
  5. Malikov, Emir & Sun, Yiguo, 2017. "Semiparametric estimation and testing of smooth coefficient spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 199(1), pages 12-34.
  6. Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
  7. Dong, Chaohua & Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2017. "Specification testing for nonlinear multivariate cointegrating regressions," Journal of Econometrics, Elsevier, vol. 200(1), pages 104-117.
  8. Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015. "Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines," Econometric Theory, Cambridge University Press, vol. 31(4), pages 753-777, August.
  9. Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015. "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
  10. Gao, Jiti, 2012. "Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models," MPRA Paper 39256, University Library of Munich, Germany, revised 14 May 2012.
  11. Tu, Yundong & Wang, Ying, 2022. "Spurious functional-coefficient regression models and robust inference with marginal integration," Journal of Econometrics, Elsevier, vol. 229(2), pages 396-421.
  12. Auld, T., 2022. "Betting and financial markets are cointegrated on election night," Cambridge Working Papers in Economics 2263, Faculty of Economics, University of Cambridge.
  13. Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 5/23, Monash University, Department of Econometrics and Business Statistics.
  14. repec:wyi:journl:002195 is not listed on IDEAS
  15. Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
  16. Sepideh Mosaferi & Mark S. Kaiser, 2021. "Nonparametric Cointegrating Regression Functions with Endogeneity and Semi-Long Memory," Papers 2111.00972, arXiv.org, revised Jan 2025.
  17. Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
  18. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
  19. Russell Davidson & Victoria Zinde‐Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(5), pages 1595-1631, December.
  20. Lin, Zhongjian & Li, Qi & Sun, Yiguo, 2014. "A consistent nonparametric test of parametric regression functional form in fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 167-179.
  21. Phillips, Peter C.B. & Wang, Ying, 2022. "Functional coefficient panel modeling with communal smoothing covariates," Journal of Econometrics, Elsevier, vol. 227(2), pages 371-407.
  22. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
  23. Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
  24. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
  25. Gan, Li & Hsiao, Cheng & Xu, Shu, 2014. "Model specification test with correlated but not cointegrated variables," Journal of Econometrics, Elsevier, vol. 178(P1), pages 80-85.
  26. repec:hum:wpaper:sfb649dp2013-033 is not listed on IDEAS
  27. Jiti Gao & Maxwell King, 2012. "An Improved Nonparametric Unit-Root Test," Monash Econometrics and Business Statistics Working Papers 16/12, Monash University, Department of Econometrics and Business Statistics.
  28. Jiti Gao, 2012. "Identification, Estimation and Specification in a Class of Semiparametic Time Series Models," Monash Econometrics and Business Statistics Working Papers 6/12, Monash University, Department of Econometrics and Business Statistics.
  29. Chaohua Dong & Jiti Gao, 2012. "Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 20/12, Monash University, Department of Econometrics and Business Statistics.
  30. Tu, Yundong & Liang, Han-Ying & Wang, Qiying, 2022. "Nonparametric inference for quantile cointegrations with stationary covariates," Journal of Econometrics, Elsevier, vol. 230(2), pages 453-482.
  31. Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Papers 2303.10117, arXiv.org, revised Mar 2024.
  32. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.
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