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 (n …

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 …