Gao, Jiti (2012): Identification, Estimation and Specification in a Class of SemiLinear Time Series Models.

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Abstract
In this paper, we consider some identification, estimation and specification problems in a class of semilinear time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also establish some new results for the integrated time series case. In the meantime, we propose a new estimation method and establish a new theory for a class of semilinear nonstationary autoregressive models. In addition, we discuss certain directions for further research.
Item Type:  MPRA Paper 

Original Title:  Identification, Estimation and Specification in a Class of SemiLinear Time Series Models 
Language:  English 
Keywords:  Asymptotic theory, departure function, kernel method, nonlinearity, nonstationarity, semiparametric model, stationarity, time series 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  39256 
Depositing User:  Jiti Gao 
Date Deposited:  06. Jun 2012 08:52 
Last Modified:  08. Sep 2015 05:37 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/39256 