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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| 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 |