Identification, Estimation and Specification in a Class of Semiparametic Time Series Models

Jiti Gao

No 6/12, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

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

Keywords: Asymptotic theory; departure function; kernel method; nonlinearity; nonstationarity; semiparametric model; stationarity; time series (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2012-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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