| 000 | 01594nam a22002657a 4500 | ||
|---|---|---|---|
| 003 | ZW-GwMSU | ||
| 005 | 20240322074139.0 | ||
| 008 | 240322b |||||||| |||| 00| 0 eng d | ||
| 022 | _a02664666 | ||
| 040 |
_aMSU _bEnglish _cMSU _erda |
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| 050 | _aHB139.T52 ECO | ||
| 100 | 1 |
_aSun, Yiguo _eauthor |
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| 245 | 1 | 0 |
_aSemiparametric functional coefficient models with integrated covariates _ccreated by Yiguo Sun, Zongwu Cai and Qi Li |
| 264 | 1 |
_aCambridge: _bCambridge University Press, _c2013. |
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| 336 |
_2rdacontent _atext _btxt |
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| 337 |
_2rdamedia _aunmediated _bn |
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| 338 |
_2rdacarrier _avolume _bnc |
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| 440 |
_aEconometric theory _vVolume 29, number 3 |
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| 520 | 3 | _aCai, Li, and Park (Journal of Econometrics, 2009) and Xiao (Journal of Econometrics, 2009) developed asymptotic theories for estimators of semiparametric varying coefficient models when regressors are integrated processes but the smooth coefficients are functionals of stationary processes. Using a recent result from Phillips (Econometric Theory, 2009), we extend this line of research by allowing for both the regressors and the covariates entering the smooth functionals to be integrated variables. We derive the asymptotic distribution for the proposed semiparametric estimator. An empirical application is presented to examine the purchasing power parity hypothesis between U.S. and Canadian dollars. | |
| 650 |
_aNonparametric statistics _xEstimation theory |
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| 700 | 1 |
_aCai, Zongwu _eco author |
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| 700 | 1 |
_aLi, Qi _eco author |
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| 856 | _uhttps://doi.org/10.1017/S0266466612000710 | ||
| 942 |
_2lcc _cJA |
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| 999 |
_c164482 _d164482 |
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