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...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |