Dynamic misspecification in nonparametric cointegrating regression

• Main Authors: KASPARIS, Ioannis, PHILLIPS, Peter C. B.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2012
• 主題: Dynamic misspecification; Functional regression; Integrable function; Integrated process; Linearity test; Local time; Misspecification; Mixed normality; Nonlinear cointegration; Nonparametric regression; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1975; https://ink.library.smu.edu.sg/context/soe_research/article/2974/viewcontent/DynamicMisspecification_2012.pdf

Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) estimator for cointegrating regression under misspecified lag structure are der...