Nonparametric LAD Cointegrating Regression

We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and dependent variable can be contemporaneously correlated. The asymptotic properties of the Nadaraya-Watson estimator are already examined in the literature. In this paper, we consider nonparametric least absolute deviation (LAD) regression and derive the asymptotic distributions of the local constant and local linear estimators by appealing to the local time approach.

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Year of publication:	2011-10
Authors:	Honda, Toshio
Institutions:	Institute of Economic Research, Hitotsubashi University
Subject:	Nonlinear Cointegration \| Integrated Process \| Local Time \| Least Absolute Deviation \| Local Polynomial Regression \| Bias

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Extent:	application/pdf
Series:	Global COE Hi-Stat Discussion Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009421783