Nonparametric cointegrating regression with NNH errors created by Qiying Wang and Ying Xiang Rachel Wang

By:

Wang, Qiying [author]

Contributor(s):

Wang Ying Xiang Rachel [co-author]

Material type: Text

TextSeries: Econometric theory ; Volume 29, number 1Cambridge: Cambridge University Press, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Cointegration

LOC classification:

HB13T.52 ECO

Online resources:

Click here to access online

Abstract: 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.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	vol. 29, no. 1 (pages1-27)	SP17546	Not for loan	For in house use

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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.

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