We provide statistical analysis methods for samples of curves in two or more dimensions, where the image, but not the parameterization of the curves, is of interest and suitable alignment/registration is thus necessary. ...

We investigate a new separable nonparametric model for time series, which includes many autoregressive conditional heteroskedastic (ARCH) models and autoregressive (AR) models already discussed in the literature. We also ...

Motivated by a nonparametric GARCH model we consider nonparametric additive autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with ...

Semiparametric generalized additive models are a powerful tool in quantitative econometrics. With response Y, covariates X,T, the considered model is E(Y |X;T) = G{XTβ + α + m1(T1) + ··· + md(Td)}. Here, G is a known link, ...

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius (1990, Oxford Bulletin of Economics and ...

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift ...

Consider the regression , where and the exact functional form of f is unknown, although we do know that f is homogeneous of known degree r. Using a local linear approach, we examine two ways of nonparametrically estimating ...

We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952–983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems ...

Understanding the time series dynamics of a multi-dimensional dependency structure is a challenging task. Multivariate covariance driven Gaussian or mixed normal time varying models have only a limited ability to capture ...

This paper proposes a nonparametric test of Granger causality in quantile. Zheng (1998, Econometric Theory 14, 123–138) studied the idea to reduce the problem of testing a quantile restriction to a problem of testing a ...