Dynamic misspecification in nonparametric cointegrating regression

Dynamic misspecification in nonparametric cointegrating regression

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...

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Bibliographic Details
Main Authors: KASPARIS, Ioannis, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Dynamic misspecification
Functional regression
Integrable function
Integrated process
Linearity test
Local time
Misspecification
Mixed normality
Nonlinear cointegration
Nonparametric regression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1975
https://ink.library.smu.edu.sg/context/soe_research/article/2974/viewcontent/DynamicMisspecification_2012.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1975
https://ink.library.smu.edu.sg/context/soe_research/article/2974/viewcontent/DynamicMisspecification_2012.pdf

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