This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We …

-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n …This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time … nonparametric kernel methods. It is shown that the usual asymptotic methods of kernel estimation completely break down in this …

-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence …This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time … nonparametric kernel methods. It is shown that the usual asymptotic methods of kernel estimation completely break down in this …