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NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS

This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop atwo-stage approach for the estimation of the heterogeneity generating function.
Year of publication:
2013
Authors: Wang, Qiying ; Xiang Rachel Wang, Ying
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 29.2013, 01, p. 1-27
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10010932066
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