NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS
This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop atwo-stage approach for the estimation of the heterogeneity generating function.
Year of publication: |
2013
|
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Authors: | Wang, Qiying ; Xiang Rachel Wang, Ying |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 29.2013, 01, p. 1-27
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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