Economic models often depend on quantities that are unobservable, either for privacy reasons or because they are difficult to measure. Examples of such variables include human capital (or ability), personal income, unobserved heterogeneity (such as consumer "types"), etc. This situation has...

This paper studies the asymptotic properties of empirical nonparametric regressions that partially misspecify the relationships between nonstationary variables. In particular, we analyze nonparametric kernel regressions in which a potential nonlinear cointegrating regression is misspecified...