Essays in nonparametric econometrics

Vogt, Michael

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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.

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