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: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1810 |
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| Institution: | Singapore Management University |
| Language: | English |