Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
Inference On Nonparametrically Trending Time Series With Fractional Errors [PDF]
The central limit theorem for nonparametric kernel estimates of a smooth trend,with linearly-generated errors, indicates asymptotic independence andhomoscedasticity across fixed points, irrespective of whether disturbances haveshort memory, long memory ...
Peter M Robinson
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Penalized Convex Estimation in Dynamic Location Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley +1 more source
Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments [PDF]
This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables.
Demian Pouzo, Xiaohong Chen
core +2 more sources
Parametric Time‐Variation in the Unconditional Volatility: Estimation and Inference
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose modeling time‐variation in the unconditional volatility by augmenting the standard GARCH model by a deterministic time‐varying intercept. The model, called the additive time‐varying (ATV‐)GARCH model, can be interpreted as a reduced form of a model including covariates and can be derived from a multiplicative decomposition of ...
Niklas Ahlgren +2 more
wiley +1 more source
Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions [PDF]
This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered.
Vogelsang, Timothy J., Wagner, Martin
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Asymptotics of Time‐Varying Processes in Continuous‐Time Using Locally Stationary Approximations
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a general theory on stationary approximations for locally stationary continuous‐time processes. Based on the stationary approximation, we use θ$$ \theta $$‐weak dependence to establish laws of large numbers and central limit type results under different observation schemes.
Robert Stelzer, Bennet Ströh
wiley +1 more source
Asymptotics for a Bayesian nonparametric estimator of species richness [PDF]
In Bayesian nonparametric inference, random discrete probability measures are commonly used as priors within hierarchical mixture models for density estimation and for inference on the clustering of the data. Recently it has been shown that they can also
Stefano Favaro +2 more
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Threshold Regression for Fixed‐T$$ T $$ Panel Data with Interactive Fixed Effects
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops a new toolbox for estimation and inference in panel data threshold regression models with interactive fixed effects and a fixed number of time periods, T$$ T $$. The toolbox is designed to be simple, accurate, and computationally efficient.
Jan Ditzen +2 more
wiley +1 more source
Nonparametric Identification and Estimation in a Generalized Roy Model [PDF]
This paper considers nonparametric identification and estimation of a generalized Roy model that includes a non-pecuniary component of utility associated with each choice alternative.
Christopher Timmins +2 more
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