Nonparametric cointegrating regression with NNH errors
Wang, Qiying
Nonparametric cointegrating regression with NNH errors created by Qiying Wang and Ying Xiang Rachel Wang - Econometric theory Volume 29, number 1 .
This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop atwo-stage approach for the estimation of the heterogeneity generating function.
Cointegration
HB13T.52 ECO
Nonparametric cointegrating regression with NNH errors created by Qiying Wang and Ying Xiang Rachel Wang - Econometric theory Volume 29, number 1 .
This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop atwo-stage approach for the estimation of the heterogeneity generating function.
Cointegration
HB13T.52 ECO