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Identification, Estimation and Specification in a Class of Semiparametic Time Series Models
journal contributionposted on 2022-11-04, 04:41 authored by Jiti Gao
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.