When bias contributes to variance: True limit theory in functional coefficient cointegrating regression

When bias contributes to variance: True limit theory in functional coefficient cointegrating regression

Limit distribution theory in the econometric literature for functional coefficient cointegrating regression is incorrect in important ways, influencing rates of convergence, distributional properties, and practical work. The correct limit theory reveals that components from both bias and variance te...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., WANG, Ying
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
Bandwidth selection
Bias variability
Functional coefficient cointegration
Kernel regression
Nonstationarity
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2775
https://ink.library.smu.edu.sg/context/soe_research/article/3774/viewcontent/BiasContributeVariance_2021_sv.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2775
https://ink.library.smu.edu.sg/context/soe_research/article/3774/viewcontent/BiasContributeVariance_2021_sv.pdf

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