Nonparametric Cointegrating Regression with Endogeneity and Long Memory

• Main Authors: WANG, Qiying, PHILLIPS, Peter C. B.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2016
• 主題: integrated time-series; asymptotic theory; whittle estimation; inference; models; heteroskedasticity; convergence; functionals; tests; Econometrics; Economics
• 在線閱讀: 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
• 機構: Singapore Management University

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...