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

• المؤلفون الرئيسيون: PHILLIPS, Peter C. B., WANG, Ying
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2023
• الموضوعات: Bandwidth selection; Bias variability; Functional coefficient cointegration; Kernel regression; Nonstationarity; Econometrics
• الوصول للمادة أونلاين: 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

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...