Kernel-based Inference in time-varying coefficient cointegrating regression
This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2386 https://ink.library.smu.edu.sg/context/soe_research/article/3385/viewcontent/Kernel_based_Inference_time_varying_ccr_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |