Wang, Qiying; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear … cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In …. Remarkably, nonparametric kernel estimation of a structural nonparametric cointegrating regression is consistent and the limit …