Non-parametric transformation regression with non-stationary data

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

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Year of publication:	2013-04
Authors:	Linton, Oliver ; Wang, Qiying
Institutions:	Centre for Microdata Methods and Practice (CEMMAP)

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Extent:	application/pdf
Series:	CeMMAP working papers.
Type of publication:	Book / Working Paper
Notes:	Number CWP16/13
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010640963