Gan, Li; Hsiao, Cheng; Xu, Shu - In: Journal of Econometrics 178 (2014) P1, pp. 80-85
cointegrated. Recently, Sun et al. (2011) propose using a semiparametric varying coefficient approach to capture correlations … the semiparametric functional form, consistent estimation of such a semiparametric model requires stronger conditions than … usually needed for consistent estimation for a linear (spurious) regression model, or a semiparametric varying coefficient …