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Asymptotic theory for local time density estimation and nonparametric cointegrating regression created by Qiying Wang and Peter C. B. Phillips

By: Contributor(s): Material type: TextTextSeries: Economic theory ; Volume 25, number 3Cambridge: Cambridge University Press, 2009Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
Subject(s): LOC classification:
  • HB139.T52 ECO
Online resources: Abstract: Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing a limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, providing an alternative approach to the Markov chain and Fourier integral methods that have been used in other recent work on these problems.
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Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library - Special Collections HB139.T52 ECO (Browse shelf(Opens below)) Vol. 25, no.3 (pages 710-738) SP3258 Not for loan For In House Use Only

Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing a limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, providing an alternative approach to the Markov chain and Fourier integral methods that have been used in other recent work on these problems.

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