Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression

Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing it limit theory for nonparametric cointegrating regression and nonstationary autoregre...

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Main Authors: Wang, Q. Y., Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Brownian - motion
Convergence
Series
Functionals
Sums
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1810
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Institution: Singapore Management University
Language: English
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spelling sg-smu-ink.soe_research-28092016-05-13T01:54:22Z Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression Wang, Q. Y. Peter C. B. PHILLIPS, Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing it limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, providing an alternative approach to the Markov chain and Fourier integral methods that have been Used in other recent work on these problems. 2009-06-01T07:00:00Z text https://ink.library.smu.edu.sg/soe_research/1810 info:doi/10.1017/S0266466608090269 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Brownian - motion Convergence Series Functionals Sums Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Brownian - motion
Convergence
Series
Functionals
Sums
Econometrics
spellingShingle Brownian - motion
Convergence
Series
Functionals
Sums
Econometrics
Wang, Q. Y.
Peter C. B. PHILLIPS,
Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
description Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing it limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, providing an alternative approach to the Markov chain and Fourier integral methods that have been Used in other recent work on these problems.
format text
author Wang, Q. Y.
Peter C. B. PHILLIPS,
author_facet Wang, Q. Y.
Peter C. B. PHILLIPS,
author_sort Wang, Q. Y.
title Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
title_short Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
title_full Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
title_fullStr Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
title_full_unstemmed Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
title_sort asymptotic theory for local time density estimation and nonparametric cointegrating regression
publisher Institutional Knowledge at Singapore Management University
publishDate 2009
url https://ink.library.smu.edu.sg/soe_research/1810
_version_ 1770572904496365568

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