Phillips, Peter C.B.; Li, Degui; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013
setting when the functional coefficients are multivariate. The reason for this breakdown is a kernel-induced degeneracy in the … new techniques are developed to address the degeneracy and resolve the asymptotics, using a path-dependent local … coordinate transformation to re-orient coordinates and accommodate the degeneracy. The resulting asymptotic theory is …