Functional cointegration : definition and nonparametric estimation
Anurag Banerjee and Jean-Yves Pitarakis
| Year of publication: |
2014
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|---|---|
| Authors: | Banerjee, Anurag Narayan ; Pitarakis, Jean-Yves |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 5, p. 507-520
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| Subject: | cointegration | functional coefficients | piecewise local linear estimation | unit roots | Schätztheorie | Estimation theory | Kointegration | Cointegration | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Einheitswurzeltest | Unit root test | Schätzung | Estimation | Nichtparametrische Schätzung | Nonparametric estimation |