Estimating smooth structural change in cointegration models

• 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
• Institution: Singapore Management University

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...