Essays in nonparametric econometrics

Vogt, Michael

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URL:	https://madoc.bib.uni-mannheim.de/29312
URN:	urn:nbn:de:bsz:180-madoc-293120
Document Type:	Doctoral dissertation
Year of publication:	2011
Place of publication:	Mannheim
University:	Universität Mannheim
Evaluator:	Mammen, Enno
Date of oral examination:	26 October 2011
Publication language:	English
Institution:	School of Law and Economics > Statistik (Mammen)
Subject:	310 Statistics
Subject headings (SWD):	Nichtparametrische Regression , Nichtstationäre Zeitreihenanalyse
Keywords (English):	nonparametric regression , local stationarity
Abstract:	This thesis is concerned with various non- and semiparametric estimation problems in a locally stationary time series setting. It consists of three essays that are self-contained and can be read separately. The first essay studies a nonparametric regression model which allows for locally stationary regressors and a regression function that changes smoothly over time. The second essay provides testing theory in this framework. The third essay deals with a semiparametric multiplicative volatility model in a locally stationary setting.