Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
Year of publication: |
2006-12
|
---|---|
Authors: | Wang, Qiying ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Brownian Local time | Cointegration | Integrated process | Local time density estimation | Nonlinear functionals | Nonparametric regression | Unit root |
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