Non-parametric transformation regression with non-stationary data

Oliver Linton; Qiying Wang

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

Year of publication:	2013
Authors:	Linton, Oliver ; Wang, Qiying
Publisher:	London : Centre for Microdata Methods and Practice
Subject:	Dependence \| Efficiency \| Cointegration \| Non-stationarity \| Non-parametric estimation \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Kointegration \| Zeitreihenanalyse \| Time series analysis \| Regressionsanalyse \| Regression analysis

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