City Research Online

Abstract

Time series analysis is a tremendous research area in statistics and econometrics. In a previous review, the author was able to break down up 15 key areas of research interest in time series analysis. Nonetheless, the aim of the review in this current paper is not to cover a wide range of somewhat unrelated topics on the subject, but the key strategy of the review in this paper is to begin with a core the ‘curse of dimensionality’ in nonparametric time series analysis, and explore further in a metaphorical domino-effect fashion into other closely related areas in semiparametric methods in nonlinear time series analysis.

Publication Type:	Article
Additional Information:	This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Nonparametric Statistics on 3 October 2013, available at: https://doi.org/10.1080/10485252.2013.840724
Publisher Keywords:	autoregressive time series, nonparametric model, nonstationary process, partially linear structure, semiparametric method
Subjects:	H Social Sciences > HA Statistics
Departments:	School of Policy & Global Affairs School of Policy & Global Affairs > Economics
SWORD Depositor:	Symplectic Administrator

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