Estimating smooth structural change in cointegration models

Estimating smooth structural change in cointegration models

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time, and considers time-varying coefficient functions estimated by nonparametric kernel methods. It is shown that the usual asymptotic methods of kernel estimation completely break down i...

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Bibliographic Details
Main Authors: Peter C. B. PHILLIPS, LI, Degui, GAO, Jiti
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Cointegration
Endogeneity
Kernel degeneracy
Nonparametric regression
Super-consistency
Time varying coefficients
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1943
https://ink.library.smu.edu.sg/context/soe_research/article/2942/viewcontent/em22052014.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1943
https://ink.library.smu.edu.sg/context/soe_research/article/2942/viewcontent/em22052014.pdf

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