Li, Kunpeng; Li, Degui; Lian, Zhongwen; Hsiao, Cheng - Department of Econometrics and Business Statistics, … - 2013
We study a partially linear varying coefficient model where the regressors are generated by the multivariate unit root I(1) processes. The influence of the explanatory vectors on the response variable satisfies the semiparametric partially linear structure with the nonlinear component being...