Park, Joon Y.; Shin, Kwanho; Whang, Yoon-Jae - In: Journal of Econometrics 157 (2010) 1, pp. 165-178
We consider a semiparametric cointegrating regression model, for which the disequilibrium error is further explained nonparametrically by a functional of distributions changing over time. The paper develops the statistical theories of the model. We propose an efficient econometric estimator and...