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Full-Text Articles in Social and Behavioral Sciences
Efficient Regression In Time Series Partial Linear Models, Peter C.B. Phillips, Binbin Guo, Zhijie Xiao
Efficient Regression In Time Series Partial Linear Models, Peter C.B. Phillips, Binbin Guo, Zhijie Xiao
Cowles Foundation Discussion Papers
This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain estimator for partial linear models with serially correlated residuals. A nonparametric treatment of regression errors is permitted so that it is not necessary to be explicit about the dynamic specification of the errors other than to assume stationarity. A new concept of weak dependence is introduced based on regularity conditions on the joint density. Under these and some …
Partially Linear Models With Unit Roots, Ted Juhl, Zhijie Xiao
Partially Linear Models With Unit Roots, Ted Juhl, Zhijie Xiao
Cowles Foundation Discussion Papers
This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988). It is proven that the autoregressive parameter can be estimated at rate N even though part of the model is estimated nonparametrically. Unit root tests based on the semiparametric estimate of the autoregressive parameter have a limiting distribution which is a mixture of a standard normal and the Dickey-Fuller distribution. A Monte …