Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression

• المؤلفون الرئيسيون: Wang, Q. Y., Peter C. B. PHILLIPS
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2009
• الموضوعات: Brownian - motion; Convergence; Series; Functionals; Sums; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1810
• المؤسسة: 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...