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Estimation and Inference for a Class of Generalized Hierarchical Models
In this paper, we consider estimation and inference for the unknown parameters and function involved in a class of generalized hierarchical models.
Smoothing the Nonsmoothness
To tackle difficulties for theoretical studies in situations involving nonsmooth functions, we propose a sequence of infinitely differentiable functions to approximate the nonsmooth function under consideration.
Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
Generalized functions incorporate local integrable functions, the so-called regular generalized functions, while the so-called singular generalized functions (e. g. Dirac delta function) can be obtained as the limits of a sequence of sufficient smooth functions, so-called regular sequence in generalized function context.
Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice
This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors.
