Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: 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. The inclusion of the three different types of
time series, along with the use of a multiple-index structure for these
variables to circumvent the curse of dimensionality, is due to both theoretical
and practical considerations. The M-type estimators (including OLS, LAD,
Huber's estimator, quantile and expectile estimators, etc.) for the index
vectors are proposed, and their asymptotic properties are established, with the
aid of the generalized function approach to accommodate a wide class of loss
functions that may not be necessarily differentiable at every point. The
proposed multiple-index model is then applied to study the stock return
predictability, which reveals strong nonlinear predictability under various
loss measures. Monte Carlo simulations are also included to evaluate the
finite-sample performance of the proposed estimators.

35
The categories of this paper are: mtrl-th
2
The categories of this paper are: math
21
The categories of this paper are: adap-org
24
The categories of this paper are: dg-ga
32
The categories of this paper are: atom-ph
1
The categories of this paper are: cs
0
The categories of this paper are: hep-ph
20
The categories of this paper are: acc-phys
25
The categories of this paper are: patt-sol
9
The categories of this paper are: nlin
12
The categories of this paper are: nucl-th
22
The categories of this paper are: chao-dyn
3
The categories of this paper are: physics
23
The categories of this paper are: solv-int
31
The categories of this paper are: ao-sci
4
The categories of this paper are: cond-mat