Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression

• 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
• Institution: Singapore Management University

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...