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Keyword: generalized least squares;
4 results found.
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Jungyoon Lee and Peter M Robinson
Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi…c components and allows also for cross-sectional and temporal ...Read more...
25 November 2013
Peter M Robinson
Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common time trend. The time trend is of unknown form, the model includes additive, unknown, individual-specific...Read more...
Fabrizio Iacone and Peter M Robinson
We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and det...Read more...
Javier Hidalgo and Peter M Robinson
A general limit theorem is established for time series regression estimates which include generalized least squares, in the presence of long range dependence in both errors and stochastic regressors. The setting and resu...Read more...