Specification testing in nonstationary time series models-Reference-Cited by-同舟云学术

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Specification testing in nonstationary time series models

Published:2015-02 Issue:1 Volume:18 Page:117-136
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:The Econometrics Journal

Author:

Chen Jia¹,Gao Jiti²,Li Degui³,Lin Zhengyan⁴

Affiliation:

1. Department of Economics and Related Studies; University of York; Heslington York YO10 5DD UK

2. Department of Econometrics and Business Statistics; Monash University; Melbourne Victoria 3800 Australia

3. Department of Mathematics; University of York; Heslington York YO10 5DD UK

4. Department of Mathematics; Zhejiang University; Hangzhou 310027 China

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Reference32 articles.

1. Functional-coefficient models for nonstationary time series data;Cai;Journal of Econometrics,2009

2. An adaptive empirical likelihood test for parametric time series regression models;Chen;Journal of Econometrics,2007

3. Robust estimation in a nonlinear cointegration model;Chen;Journal of Multivariate Analysis,2010

4. Estimation in semi-parametric regression with non-stationary regressors;Chen;Bernoulli,2012

5. Chen , J. J. Gao D. Li Z. Lin 2013 Nonparametric specification testing in nonlinear and nonstationary time series models: theory and practice http://ssrn.com/abstract=2235356

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Multidimensional specification test based on non-stationary time series;TEST;2021-06-29

2. Nonparametric inference for quantile cointegrations with stationary covariates;Journal of Econometrics;2021-06

3. Functional coefficient panel modeling with communal smoothing covariates;Journal of Econometrics;2021-04

4. Advances in specification testing;Canadian Journal of Economics/Revue canadienne d'économique;2017-12

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