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

• Main Authors: PHILLIPS, Peter C. B., WANG, Ying
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2023
• 主題: Bandwidth selection; Bias variability; Functional coefficient cointegration; Kernel regression; Nonstationarity; Econometrics
• 在線閱讀: 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...