Kernel-based Inference in time-varying coefficient cointegrating regression

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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Bibliographic Details
Main Authors: LI, Degui, PHILLIPS, Peter C. B., GAO, Jiti
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Cointegration
FM-kernel estimation
Generalized Wald test
Global rotation
Kernel degeneracy
Local rotation
Super-consistency
Time-varying coefficients
Econometrics
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
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