Nonparametric Cointegrating Regression with Endogeneity and Long Memory

• المؤلفون الرئيسيون: WANG, Qiying, PHILLIPS, Peter C. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2016
• الموضوعات: integrated time-series; asymptotic theory; whittle estimation; inference; models; heteroskedasticity; convergence; functionals; tests; Econometrics; Economics
• الوصول للمادة أونلاين: 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
• المؤسسة: 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...