Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo simulation results show that the performance of the proposed estimate is numerically satisfactory

MoreLess

Year of publication:	2015
Authors:	Cai, Biqing
Other Persons:	Dong, Chaohua (contributor) ; Gao, Jiti (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Kointegration \| Cointegration \| Nichtlineare Regression \| Nonlinear regression \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013014831