000			01942nam a22002417a 4500
003			ZW-GwMSU
005			20240326083414.0
008			240326b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aPhillips, Peter C. B. _eauthor
245		0	_aLocal limit theory and spurious nonparametric regression _ccreated by Peter C. B. Phillips
264	1		_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 6
520	3		_aA local limit theorem is proved for sample covariances of nonstationary time series and integrable functions of such time series that involve a bandwidth sequence. The resulting theory enables an asymptotic development of nonparametric regression with integrated or fractionally integrated processes that includes the important practical case of spurious regressions. Some local regression diagnostics are suggested for forensic analysis of such regresssions, including a local R2 and a local Durbin–Watson (DW) ratio, and their asymptotic behavior is investigated. The most immediate findings extend the earlier work on linear spurious regression (Phillips, 1986, Journal of Econometrics 33, 311–340) showing that the key behavioral characteristics of statistical significance, low DW ratios and moderate to high R2 continue to apply locally in nonparametric spurious regression. Some further applications of the limit theory to models of nonlinear functional relations and cointegrating regressions are given. The methods are also shown to be applicable in partial linear semiparametric nonstationary regression.
650			_aTime series analysis _vStochastic process _xNonparametric statistics
856			_uhttps://doi.org/10.1017/S0266466609990223
942			_2lcc _cJA
999			_c164557 _d164557