Nonparametric Cointegrating Regression with Endogeneity and Long Memory

Nonparametric Cointegrating Regression with Endogeneity and Long Memory

This paper explores nonparametric estimation, inference, and specification testing in a nonlinear cointegrating regression model where the structural equation errors are serially dependent and where the regressor is endogenous and may be driven by long memory innovations. Generalizing earlier result...

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Bibliographic Details
Main Authors: WANG, Qiying, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
integrated time-series
asymptotic theory
whittle estimation
inference
models
heteroskedasticity
convergence
functionals
tests
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/1843
https://ink.library.smu.edu.sg/context/soe_research/article/2842/viewcontent/NonparaetricCointregatingRegEndoLongMemory_2014_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1843
https://ink.library.smu.edu.sg/context/soe_research/article/2842/viewcontent/NonparaetricCointregatingRegEndoLongMemory_2014_pp.pdf

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