This document has not been cited yet.

1. Berkes, I., Horváth, L., 2006. Convergence of integral functionals of stochastic processes. Econometric Theory 22, 304–322.

2. Billingsley, P., 1999. Convergence of Probability Measures, 2nd ed. Wiley, New York.
   Paper not yet in RePEc: Add citation now
   

3. Cai, Z., 2002a. Regression quantile for time series. Econometric Theory 18, 169–192.

4. Cai, Z., 2002b. Two-step likelihood estimation procedure for varying-coefficient models. Journal of Multivariate Analysis 82, 189–209.

5. Cai, Z., 2002c. A two-stage approach to additive time series models. Statistica Neerlandica 56, 415–433.

6. Cai, Z., 2007. Trending time varying coefficient time series models with serially correlated errors. Journal of Econometrics 137, 163–188.

7. Cai, Z., Fan, J., Yao, Q., 2000. Functional-coefficient regression models for nonlinear time series. Journal of the American Statistical Association 95, 941–956.

8. Cai, Z., Wang, Y., 2008. Instability of predictability of stock returns. Working Paper. Department of Mathematics and Statistics, University of North Carolina at Charlotte.
   Paper not yet in RePEc: Add citation now
   

9. Campbell, J.Y., Yogo, M., 2006. Efficient tests of stock return predictability. Journal of Financial Economics 81, 27–60.

10. Carrasco, M., Chen, X., 2002. Mixing and moment properties of various GARCH and stochastic volatility models. Econometric Theory 18, 17–39.

11. Chang, Y., Martinez-Chombo, E., 2003. Electricity demand analysis using cointegration and error-correction models with time varying parameters: The Mexican case. Working Paper. Department of Economics, Texas A&M University.

12. Chen, B., Hong, Y., 2007. Testing for smooth structural changes in time series models via nonparametric regression. Working Paper. Department of Economics, Cornell University.
    Paper not yet in RePEc: Add citation now
    
13. Chen, R., Tsay, R.S., 1993. Functional-coefficient autoregressive models. Journal of the American Statistical Association 88, 298–308.
    Paper not yet in RePEc: Add citation now
    

14. Chen, S.X., Tang, C.Y., 2005. Nonparametric inference of value at risk for dependent financial returns. Journal of Financial Econometrics 3, 227–255.

15. Csörgő, M., Révés, P., 1981. Strong Approximation in Probability and Statistics. Academic Press, New York.
    Paper not yet in RePEc: Add citation now
    
16. Einmahl, U., 1987. A useful estimate in the multidimensional invariance principle. Probability Theory and Related Fields 76, 81–101.
    Paper not yet in RePEc: Add citation now
    
17. Fan, J., Gijbels, I., 1996. Local Polynomial Modeling and its Applications. Chapman and Hall, London.
    Paper not yet in RePEc: Add citation now
    
18. Fan, J., Huang, T., 2005. Profile likelihood inferences on semiparametric varyingcoefficient partially linear models. Bernoulli 11, 1031–1057.
    Paper not yet in RePEc: Add citation now
    
19. Hall, P., Heyde, C.C., 1980. Martingale Limit Theory and its Applications. Academic Press, New York.
    Paper not yet in RePEc: Add citation now
    

20. Hansen, B.E., 1992. Convergence to stochastic integrals for dependent heterogeneous processes. Econometric Theory 8, 489–500.

21. Hansen, B.E., 2008. Uniform convergence rates for kernel estimation with dependent data. Econometric Theory 24, 726–748.

22. Hastie, T., Tibshirani, R., 1993. Varying coefficient models (with discussions). Journal of the Royal Statistical Society, Series B 55, 757–796.
    Paper not yet in RePEc: Add citation now
    

23. Hurvich, C.M., Simonoff, J.S., Tsai, C.L., 1998. Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion. Journal of the Royal Statistical Society, Series B 60, 271–293.

24. Jeganathan, P., 2004. Convergence of functionals of sums of random variables to local times of fractional stable motions. The Annals of Probability 32, 1771–1795.
    Paper not yet in RePEc: Add citation now
    

25. Juhl, T., 2005. Functional coefficient models under unit root behavior. Econometrics Journal 8, 197–213.

26. Karatzas, I., Shreve, S.E., 1991. Brownian Motion and Stochastic Calculus, 2nd ed. Springer-Verlag, New York.
    Paper not yet in RePEc: Add citation now
    
27. Karlsen, H.A., Myklebust, T., Tjøstheim, D., 2007. Nonparametric estimation in a nonlinear cointegration type model. Annals of Statistics 35, 252–299.
    Paper not yet in RePEc: Add citation now
    

28. Li, Q., Huang, C., Li, D., Fu, T., 2002. Semiparametric smooth coefficient models. Journal of Business and Economic Statistics 20, 412–422.

29. Linton, O.B., 2000. Efficient estimation of generalized additive nonparametric regression models. Econometric Theory 16, 502–523.

30. McLeish, D.L., 1975. A maximal inequality and dependent strong laws. The Annals of Probability 3, 829–839.
    Paper not yet in RePEc: Add citation now
    
31. Merlevéde, F., Peligrad, M., Utev, S., 2006. Recent advances in invariance principles for stationary sequences. Probability Surveys 3, 1–36.
    Paper not yet in RePEc: Add citation now
    

32. Park, J.Y., Hahn, S,B., 1999. Cointegrating regressions with time varying coefficients. Econometric Theory 15, 664–703.

33. Park, J.Y., Phillips, P.C.B., 1999. Asymptotics for nonlinear transformations of integrated time series. Econometric Theory 15, 269–298.

34. Phillips, P.C.B., 1989. Partially identified econometric models. Econometric Theory 5, 181–240.

35. Phillips, P.C.B., Park, J., 1998. Nonstationary density and kernel autoregression. Unpublished manuscript.

36. Polk, C., Thompson, S., Vuolteenaho, T., 2006. Cross-sectional forecasts of the equity premium. Journal of Financial Economics 81, 101–141.

37. Robinson, P.M., 1988. Root-n consistent semiparametric regression. Econometrica 56, 931–954.

38. Robinson, P.M., 1989. Nonparametric estimation of time-varying parameters. In: Hackl, P. (Ed.), Statistical Analysis and Forecasting of Economic Structural Change. Springer-Verlag, Berlin, pp. 253–264.
    Paper not yet in RePEc: Add citation now
    
39. Robinson, P.M., 1991. Time-varying nonlinear regression. In: Hackl, P. (Ed.), Statistical Analysis and Forecasting of Economic Structural Change. SpringerVerlag, Berlin, pp. 179–190.
    Paper not yet in RePEc: Add citation now
    
40. Ruppert, D., Sheather, S.J., Wand, M.P., 1995. An effective bandwidth selection for local least squares regression. Journal of the American Statistical Association 90, 1257–1270.
    Paper not yet in RePEc: Add citation now
    
41. Shao, Q., Lu, C., 1987. Strong approximation for partial sums of weakly dependent random variables. Scientia Sinica 15, 576–587.
    Paper not yet in RePEc: Add citation now
    

42. Torous, W., Valkanov, R., Yan, S., 2004. On predicting stock returns with nearly integrated explanatory variables. The Journal of Business 77, 937–966.

43. Wang, Q., Phillips, P.C.B., 2006. Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Econometric Theory (forthcoming).

44. Wang, Q., Phillips, P.C.B., 2008. Structural nonparametric cointegrating regression. Manuscript.

45. Xiao, Z., 2007. Functional coefficient co-integration models. Journal of Econometrics (forthcoming).
    Paper not yet in RePEc: Add citation now
    

1. Nonlinear Cointegrating Power Function Regression with Endogeneity. (2019). Phillips, Peter ; Hu, Zhishui ; Wang, Qiying.
   In: Cowles Foundation Discussion Papers.
   RePEc:cwl:cwldpp:2211.

   Full description at Econpapers || Download paper

2. A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery.
   In: Papers.
   RePEc:arx:papers:1712.05527.

   Full description at Econpapers || Download paper

3. Testing for monotonicity in unobservables under unconfoundedness. (2016). Yang, Thomas Tao ; Su, Liangjun ; hoderlein, stefan ; White, Halbert.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:193:y:2016:i:1:p:183-202.

   Full description at Econpapers || Download paper

4. Nonparametric estimates for conditional quantiles of time series. (2015). Wang, Weining ; Mwita, Peter ; Franke, Jurgen.
   In: AStA Advances in Statistical Analysis.
   RePEc:spr:alstar:v:99:y:2015:i:1:p:107-130.

   Full description at Econpapers || Download paper

5. Functional index coefficient models with variable selection. (2015). CAI, ZONGWU ; Juhl, Ted ; Yang, Bingduo.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:189:y:2015:i:2:p:272-284.

   Full description at Econpapers || Download paper

6. Optimal smoothing in nonparametric conditional quantile derivative function estimation. (2015). Su, Li ; Li, Zheng ; CAI, ZONGWU ; Lin, Wei.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:188:y:2015:i:2:p:502-513.

   Full description at Econpapers || Download paper

7. Nonparametric predictive regression. (2015). Phillips, Peter ; Phillips, Peter C. B., ; Kasparis, Ioannis ; Andreou, Elena.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:185:y:2015:i:2:p:468-494.

   Full description at Econpapers || Download paper

8. Nonlinear regressions with nonstationary time series. (2015). Wang, Qiying ; Chan, Nigel.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:185:y:2015:i:1:p:182-195.

   Full description at Econpapers || Download paper

9. Nonparametric welfare and demand analysis with unobserved individual heterogeneity. (2014). Demuynck, Thomas ; Cosaert, Sam ; Demuynck T., ; Cosaert S., .
   In: Research Memorandum.
   RePEc:unm:umagsb:2014010.

   Full description at Econpapers || Download paper

10. Nonparametric Estimates for Conditional Quantiles of Time Series. (2014). Wang, Weining ; Mwita, Peter ; Franke, Jrgen .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-012.

    Full description at Econpapers || Download paper

11. Summability of stochastic processes—A generalization of integration for non-linear processes. (2014). Gonzalo, Jesus ; Berenguer-Rico, Vanessa.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:178:y:2014:i:p2:p:331-341.

    Full description at Econpapers || Download paper

12. Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence. (2013). CAI, ZONGWU ; Liu, Zhi ; Kong, Xin-Bing ; Jing, Bing-Yi.
    In: Working Papers.
    RePEc:wyi:wpaper:002020.

    Full description at Econpapers || Download paper

13. Some Recent Develop- ments on Nonparametric Econometrics. (2013). Li, Qi ; CAI, ZONGWU.
    In: Working Papers.
    RePEc:wyi:wpaper:002008.

    Full description at Econpapers || Download paper

14. Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models. (2013). CAI, ZONGWU ; Xu, Xiaoping.
    In: Working Papers.
    RePEc:wyi:wpaper:001957.

    Full description at Econpapers || Download paper

15. Nonparametric LAD cointegrating regression. (2013). Honda, Toshio.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:117:y:2013:i:c:p:150-162.

    Full description at Econpapers || Download paper

16. Semiparametric estimation in triangular system equations with nonstationarity. (2013). Phillips, Peter ; GAO, Jiti ; Phillips, Peter C. B., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:1:p:59-79.

    Full description at Econpapers || Download paper

17. Quantile Prediction. (2013). Komunjer, Ivana.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-961.

    Full description at Econpapers || Download paper

18. Co-summability from linear to non-linear cointegration. (2013). Gonzalo, Jesus ; Berenguer-Rico, Vanessa.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we1312.

    Full description at Econpapers || Download paper

19. Nonparametric Predictive Regression. (2013). Phillips, Peter ; Phillips, Peter C. B., ; Kasparis, Ioannis ; Andreou, Elena.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9570.

    Full description at Econpapers || Download paper

20. Re-weighted functional estimation of second-order diffusion processes. (2012). Wang, Yunyan ; Tang, Mingtian ; Zhang, Lixin.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:75:y:2012:i:8:p:1129-1151.

    Full description at Econpapers || Download paper

21. Empirical likelihood for conditional quantile with left-truncated and dependent data. (2012). Ua-Alvarez, Jacobo ; Liang, Han-Ying.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:64:y:2012:i:4:p:765-790.

    Full description at Econpapers || Download paper

22. Modelling time trend via spline confidence band. (2012). Wang, Jing.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:64:y:2012:i:2:p:275-301.

    Full description at Econpapers || Download paper

23. Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions. (2012). Racine, Jeffrey ; Li, Qi ; Lin, Juan.
    In: Department of Economics Working Papers.
    RePEc:mcm:deptwp:2012-10.

    Full description at Econpapers || Download paper

24. Bootstrap confidence bands and partial linear quantile regression. (2012). Härdle, Wolfgang ; Ritov, Yaaacov ; Hrdle, Wolfgang K. ; Song, Song.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:107:y:2012:i:c:p:244-262.

    Full description at Econpapers || Download paper

25. Dynamic misspecification in nonparametric cointegrating regression. (2012). Phillips, Peter ; Phillips, Peter C. B., ; Kasparis, Ioannis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:270-284.

    Full description at Econpapers || Download paper

26. Semiparametric quantile regression estimation in dynamic models with partially varying coefficients. (2012). Xiao, Zhijie ; CAI, ZONGWU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:2:p:413-425.

    Full description at Econpapers || Download paper

27. Asymptotically efficient estimation of the conditional expected shortfall. (2012). Peracchi, Franco ; Leorato, Samantha ; Tanase, Andrei V..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:4:p:768-784.

    Full description at Econpapers || Download paper

28. Nonparametric tests for conditional independence using conditional distributions. (2012). Taamouti, Abderrahim ; Bouezmarni, Taoufik ; el Ghouch, Anouar.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we1217.

    Full description at Econpapers || Download paper

29. From the “European Paradox” to a European Drama in citation impact. (2012). Ruiz-Castillo, Javier ; Bouezmarni, Taoufik ; Taamouti, Abderrahim.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we1211.

    Full description at Econpapers || Download paper

30. Asymptotic properties of conditional quantile estimator for censored dependent observations. (2011). Ua-Lvarez, Jacobo ; Liang, Han-Ying.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:63:y:2011:i:2:p:267-289.

    Full description at Econpapers || Download paper

31. On the Order of Magnitude of Sums of Negative Powers of Integrated Processes. (2011). Pötscher, Benedikt ; Potscher, Benedikt M..
    In: MPRA Paper.
    RePEc:pra:mprapa:28287.

    Full description at Econpapers || Download paper

32. Semiparametric Estimation in Multivariate Nonstationary Time Series Models. (2011). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-17.

    Full description at Econpapers || Download paper

33. Nonparametric LAD Cointegrating Regression. (2011). Honda, Toshio.
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd11-207.

    Full description at Econpapers || Download paper

34. Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications. (2011). Phillips, Peter ; Phillips, Peter C. B., ; Xu, Ke-Li.
    In: Journal of Business & Economic Statistics.
    RePEc:bes:jnlbes:v:29:i:4:y:2011:p:518-528.

    Full description at Econpapers || Download paper

35. Modeling Temperature Dynamics for Aquaculture Index Insurance In Taiwan: A Nonlinear Quantile Approach. (2011). Chen, Shu-Ling.
    In: 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania.
    RePEc:ags:aaea11:104229.

    Full description at Econpapers || Download paper

36. Efficient estimation in dynamic conditional quantile models. (2010). Komunjer, Ivana ; Vuong, Quang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:2:p:272-285.

    Full description at Econpapers || Download paper

37. Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. (2010). Li, Dong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:157:y:2010:i:1:p:179-190.

    Full description at Econpapers || Download paper

38. Tilted Nonparametric Estimation of Volatility Functions. (2010). Xu, Ke-Li ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1612.

    Full description at Econpapers || Download paper

39. CONFIDENCE BANDS IN QUANTILE REGRESSION. (2010). Härdle, Wolfgang ; Hrdle, Wolfgang K. ; Song, Song.
    In: Econometric Theory.
    RePEc:cup:etheor:v:26:y:2010:i:04:p:1180-1200_99.

    Full description at Econpapers || Download paper

40. Functional-coefficient models for nonstationary time series data. (2009). Park, Joon ; Li, Qi ; CAI, ZONGWU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:148:y:2009:i:2:p:101-113.

    Full description at Econpapers || Download paper

41. The Stochastic Fluctuation of the Quantile Regression Curve. (2008). Härdle, Wolfgang ; Hardle, Wolfgang ; Song, Song.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-027.

    Full description at Econpapers || Download paper

42. A Consistent Nonparametric Test for Causality in Quantile. (2008). Härdle, Wolfgang ; Hardle, Wolfgang ; Jeong, Kiho.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-007.

    Full description at Econpapers || Download paper

43. Change point estimators by local polynomial fits under a dependence assumption. (2008). Li, Degui ; Chen, Jia ; Lin, Zhengyan.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:99:y:2008:i:10:p:2339-2355.

    Full description at Econpapers || Download paper

44. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:120-130.

    Full description at Econpapers || Download paper

45. Local Limit Theory and Spurious Nonparametric Regression. (2008). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1654.

    Full description at Econpapers || Download paper

46. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws087326.

    Full description at Econpapers || Download paper

47. NoVaS Transformations: Flexible Inference for Volatility Forecasting. (2007). Thomakos, Dimitrios ; Politis, Dimitris N.
    In: Working Paper series.
    RePEc:rim:rimwps:44_07.

    Full description at Econpapers || Download paper

48. Trending time-varying coefficient time series models with serially correlated errors. (2007). CAI, ZONGWU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:136:y:2007:i:1:p:163-188.

    Full description at Econpapers || Download paper

49. Intraday stock prices, volume, and duration: a nonparametric conditional density analysis. (2006). Tay, Anthony S ; Ting, Christopher.
    In: Empirical Economics.
    RePEc:spr:empeco:v:30:y:2006:i:4:p:827-842.

    Full description at Econpapers || Download paper

50. Nonparametric Econometrics: Theory and Practice. (2006). Li, QI ; Racine, Jeffrey Scott .
    In: Economics Books.
    RePEc:pup:pbooks:8355.

    Full description at Econpapers || Download paper

51. Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression. (2006). Wang, Qiying ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1594.

    Full description at Econpapers || Download paper

52. Approximating conditional distribution functions using dimension reduction. (2005). Yao, Qiwei ; Hall, Peter.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:16333.

    Full description at Econpapers || Download paper

53. The asymptotic distribution of the unconditional quantile estimator under dependence. (2005). Haupt, Harry ; Oberhofer, Walter .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:73:y:2005:i:3:p:243-250.

    Full description at Econpapers || Download paper

54. Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models. (2005). Sun, Yiguo.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2005:v:6:i:1:p:105-127.

    Full description at Econpapers || Download paper

55. Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design. (2005). Haupt, Harry ; Oberhofer, Walter .
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
    RePEc:bay:rdwiwi:480.

    Full description at Econpapers || Download paper

56. Sliced inverse regression in reference curves estimation. (2004). saracco, jerome ; Girard, Stephane ; Guinot, Christiane ; Gannoun, Ali.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:46:y:2004:i:1:p:103-122.

    Full description at Econpapers || Download paper

57. Square Root N - Consistent Semiparametric Estimation of Partially Linear Quantile Regression Models. (2003). Sun, Yiguo.
    In: Working Papers.
    RePEc:gue:guelph:2003-11.

    Full description at Econpapers || Download paper

58. A Consistent Nonparametric Equality Test of Conditional Quantile Functions. (2003). Sun, Yiguo.
    In: Working Papers.
    RePEc:gue:guelph:2003-10.

    Full description at Econpapers || Download paper

59. Nonlinear quantile regression under dependence and heterogeneity. (2003). Haupt, Harry ; Oberhofer, Walter .
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
    RePEc:bay:rdwiwi:479.

    Full description at Econpapers || Download paper

60. .

    Full description at Econpapers || Download paper

61. .

    Full description at Econpapers || Download paper

62. .

    Full description at Econpapers || Download paper

63. .

    Full description at Econpapers || Download paper

64. Too much cocited documents. This list is not complete

Report date: 2025-09-23 10:17:46 || Missing content? Let us know