Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo simulation results show that the performance of the proposed estimate is numerically satisfactory

MoreLess

Year of publication:	2015
Authors:	Cai, Biqing
Other Persons:	Dong, Chaohua (contributor) ; Gao, Jiti (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Kointegration \| Cointegration \| Nichtlineare Regression \| Nonlinear regression \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Nichtparametrisches Verfahren \| Nonparametric statistics

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (38 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 24, 2015 erstellt
Other identifiers:	10.2139/ssrn.2665110 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013014831