Estimation in Semiparametric Time Series Regression

Jia Chen, Jiti Gao and Degui Li

No 2010-27, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: In this paper, we consider a semiparametric time series regression model and establish a set of identi cation conditions such that the model under discussion is both identi able and estimable. We then discuss how to estimate a sequence of local alternative functions nonparametrically when the null hypothesis does not hold. An asympthttps://media.adelaide.edu.au/economics/pirical application is also included.

Pages: 18 pages
Date: 2010-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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