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Semiparametric ACD model, Conditional durations, Simulations

Asymptotic distribution, Edgeworth expansion, estimation, nonlinear time series, power function, quadratic form, random walk, size function

Fixed effects, local linear estimation, nonstationarity, panel data, specification testing, time-varying coefficient function

Asymptotic normality, nonlinear time series, nonparametric model, nonstationarity

Endogeneity, exogeneity, Nonstationarity, Partially linear model, Simultaneous equation, Stochastic detrending, Vector semiparametric regression

Dependent point process, duration, hazard rate and random measure, irregularly spaced high frequency data, semiparametric time series

autoregressive conditional duration model, dependent point process, financial time series, hazard rate, high frequency data, semiparametric regression

Asymptotic distribution, local linear smoother, minimum average variance estimation, panel data, semiparametric estimation, single-index models

Asymptotic consistency, deterministic trend, model identifiability, time series

Bootstrap, empirical likelihood, goodness-of-fit test, kernel estimation, least squares empirical likelihood, rate-optimal test

Dependent point process, duration, hazard rate and random measure, irregularly

Central limit theorem, Covariance stationary time series, Empirical spectral distribution, Independence test, Large dimensional sample covariance matrix, Linear spectral statistics

Cointegration, nonparametric kernel estimation, nonstationary time series, parametric model specification

Asymptotic theory, departure function, kernel method, nonlinearity, nonstationarity, semiparametric model, stationarity, time series

Independence test, cross--sectional dependence, empirical spectral distribution, characteristic function, Marcenko-Pastur Law

Semiparametrics, Time Series, Curse of Dimensionality

Null recurrent Markov chain, nonparametric estimation, rate of convergence, uniform consistency

Approximation theory, Black-Scholes theory, complete market, stochastic process, time series

autoregression, nonparametric unit-root test, nonstationary time series, specification testing

Cross-sectional dependence, nonlinear time trend, panel data, profile likelihood, semiparametric regression

Asymptotic normality, beta-null recurrent Markov chain, consistency, kernel estimator, partially linear model

Asymptotic theory, Econometric estimation, Levy process, Nonstationary time series, Orthogonal series expansion.

Central limit theorem, Gaussian process, linear process, long-range dependence, parametric time series regression, specification testing

expansions, Lévy Process, Orthogonal Series, Statistical Estimation

Bayes factors, bandwidth, marginal likelihood, local linear estimator, random-walk Metropolis algorithm

consumption-income model, integrated time series, local-time process, orthogonal series estimation, parametric specification

asymptotic distribution, Edgeworth expansion, nonlinear time series, power function, quadratic form, size function, unit root

Fixed effects, Local linear estimation, Non‐stationarity, Panel data, Time‐varying coefficient function

endogeneity, generalized partially linear single index model, CF approach, generated regressor

diffusion process, drift function, kernel density estimation, stochastic volatility