Structural Nonparametric Cointegrating Regression

Structural Nonparametric Cointegrating Regression

Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is kno...

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Bibliographic Details
Main Authors: Wang, Q. Y., Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Brownian local time
Cointegration
Functional regression
Gaussian process
Integrated process
Kernel estimate
Near integration
Nonlinear functional
Nonparametric regression
Structural estimation
Unit root
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1813
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1813

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