Structural 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 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
• Institution: Singapore Management University

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...