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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| 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 |