Phillips, Peter C.B.; Kasparis, Ioannis - School of Economics, Singapore Management University - 2009
parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the … analysis of nonparametric regression models with a misspeci?ed lag structure and in situations where temporal aggregation … issues arise. The limit properties of the Nadaraya-Watson (NW) estimator for cointegrating regression under misspeci?ed lag …