LAUSR

Functional coefficient panel modeling with communal smoothing covariates

Sign Up to like & get
recommendations!
0 Published in 2021 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2021.03.004

Abstract: Abstract Behavior at the individual level in panels is often influenced by aspects of the system in aggregate. In particular, the interaction between individual-specific explanatory variables and an individual dependent variable may be affected by… read more here.

Keywords: panel; functional coefficient; panel modeling; coefficient panel ... See more keywords

Statistical inference of locally stationary functional coefficient models

Sign Up to like & get
recommendations!
0 Published in 2020 at "Journal of Statistical Planning and Inference"

DOI: 10.1016/j.jspi.2020.02.006

Abstract: Abstract In this paper, we propose a novel functional coefficient model, useful for direct modeling of nonstationary time series data without needing to detrend the original data. The proposed model could reveal the underlying dynamics… read more here.

Keywords: locally stationary; coefficient; inference locally; functional coefficient ... See more keywords

Empirical likelihood based estimation for a class of functional coefficient ARCH-M models

Sign Up to like & get
recommendations!
0 Published in 2018 at "Communications in Statistics - Theory and Methods"

DOI: 10.1080/03610926.2018.1554139

Abstract: Abstract A class of functional coefficient ARCH-M models are discussed in this paper. Based on empirical likelihood method, a weighted empirical likelihood estimation procedure is proposed for estimating the functional coefficients. Furthermore, the constructed empirical… read more here.

Keywords: coefficient arch; estimation; likelihood; empirical likelihood ... See more keywords

Functional-coefficient cointegration models in the presence of deterministic trends

Sign Up to like & get
recommendations!
0 Published in 2018 at "Econometric Reviews"

DOI: 10.1080/07474938.2015.1092845

Abstract: ABSTRACT In this article, we extend the functional-coefficient cointegration model (FCCM) to the cases in which nonstationary regressors contain both stochastic and deterministic trends. A nondegenerate distributional theory on the local linear (LL) regression smoother… read more here.

Keywords: deterministic trends; cointegration models; functional coefficient; models presence ... See more keywords

Multi-Step Inflation Prediction with Functional Coefficient Autoregressive Model

Sign Up to like & get
recommendations!
0 Published in 2018 at "Sustainability"

DOI: 10.3390/su10061691

Abstract: Forecasting inflation rate is one of the most important topics in finance and economics. In recent years, China has stepped into a “New Normal” stage of economic development, with a different state from the fast… read more here.

Keywords: coefficient autoregressive; forecasting inflation; model; functional coefficient ... See more keywords