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Robust Nonstationary Regression

Citations

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Cited by:

  1. Michael T. K. Horvath & Mark W. Watson, 1994. "Testing for Cointegration When Some of the Contributing Vectors are Known," NBER Technical Working Papers 0171, National Bureau of Economic Research, Inc.
  2. Dong Wan Shin & Oesook Lee, 2004. "M‐Estimation for regressions with integrated regressors and arma errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 283-299, March.
  3. Phillips, Peter C. B. & McFarland, James W., 1997. "Forward exchange market unbiasedness: the case of the Australian dollar since 1984," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 885-907, December.
  4. Fatma Ozgu Serttas, 2018. "Infinite-Variance Error Structure in Finance and Economics," International Econometric Review (IER), Econometric Research Association, vol. 10(1), pages 14-23, April.
  5. Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
  6. Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
  7. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics, Taylor & Francis Journals, vol. 7(1), pages 325-353, May.
  8. Theologos Pantelidis & Nikitas Pittis, 2009. "Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 612-630.
  9. Shin, Dong Wan & Oh, Man-Suk, 2004. "Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors," Journal of Econometrics, Elsevier, vol. 122(2), pages 247-280, October.
  10. Bravo, Francesco & Li, Degui & Tjøstheim, Dag, 2021. "Robust nonlinear regression estimation in null recurrent time series," Journal of Econometrics, Elsevier, vol. 224(2), pages 416-438.
  11. Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
  12. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
  13. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
  14. John W. Galbraith & Victoria Zinde-Walsh, 2000. "Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations," Econometric Society World Congress 2000 Contributed Papers 1800, Econometric Society.
  15. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
  16. Lima Luiz Renato & Xiao Zhijie, 2010. "Testing Unit Root Based on Partially Adaptive Estimation," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
  17. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
  18. Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers 2301.06631, arXiv.org.
  19. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
  20. Alessio Moneta & Doris Entner & Patrik O. Hoyer & Alex Coad, 2013. "Causal Inference by Independent Component Analysis: Theory and Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 705-730, October.
  21. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics.
  22. ZINDE-WALSH, Victoria, 2007. "Errors-in-Variables Models : A Generalized Functions Approach," Cahiers de recherche 14-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  23. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
  24. Xiao, Zhijie, 2004. "Estimating average economic growth in time series data with persistency," Journal of Macroeconomics, Elsevier, vol. 26(4), pages 699-724, December.
  25. Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Papers 2111.02023, arXiv.org.
  26. Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
  27. Zinde-Walsh, Victoria, 2008. "Kernel Estimation When Density May Not Exist," Econometric Theory, Cambridge University Press, vol. 24(3), pages 696-725, June.
  28. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June.
  29. Delgado, Miguel A. & Velasco, Carlos, 2005. "Sign tests for long-memory time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 215-251, October.
  30. Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Monash Econometrics and Business Statistics Working Papers 18/21, Monash University, Department of Econometrics and Business Statistics.
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