Nonparametric regression with nearly integrated regressors under long-run dependence
Zongwu Cai, Bingyi Jing, Xinbing Kong and Zhi Liu
| Year of publication: |
2017
|
|---|---|
| Authors: | Cai, Zongwu ; Jing, Bingyi ; Kong, Xinbing ; Liu, Zhi |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 20.2017, 1, p. 118-138
|
| Subject: | Local time | Ornstein-Uhlenbeck fractional Brownian motion | Unit root | Theorie | Theory | Einheitswurzeltest | Unit root test | Stochastischer Prozess | Stochastic process | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Nichtparametrische Schätzung | Nonparametric estimation |