9 citations · 20 across the 9 of their papers we have counts for
5 papers · 1 filter
Estimation and Inference in the Presence of Fractional d=1/2 and Weakly Nonstationary Processes
James A. Duffy, Ioannis Kasparis
We provide new limit theory for functionals of a general class of processes lying at the boundary between stationarity and nonstationarity -- what we term weakly nonstationary proc…
Asymptotic Theory for Kernel Estimators under Moderate Deviations from a Unit Root, with an Application to the Asymptotic Size of Nonparametric Tests
James A. Duffy
We provide new asymptotic theory for kernel density estimators, when these are applied to autoregressive processes exhibiting moderate deviations from a unit root. This fills a gap…
Generalized Indirect Inference for Discrete Choice Models
Marianne Bruins, James A. Duffy, Michael P. Keane +1
This paper develops and implements a practical simulation-based method for estimating dynamic discrete choice models. The method, which can accommodate lagged dependent variables,…
Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
James A. Duffy
This paper presents uniform convergence rates for kernel regression estimators, in the setting of a structural nonlinear cointegrating regression model. We generalise the existing…
A uniform law for convergence to the local times of linear fractional stable motions
James A. Duffy
We provide a uniform law for the weak convergence of additive functionals of partial sum processes to the local times of linear fractional stable motions, in a setting sufficiently…