Non-Parametric Transformation Regression with Non-Stationary Data

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

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Year of publication:	2013
Authors:	Linton, Oliver
Other Persons:	Wang, Qiying (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Regressionsanalyse \| Regression analysis \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics

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