Showing 1 - 10 of 15
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy...
Persistent link: https://www.econbiz.de/10005087357
Reduced rank regression procedures in error correction models (ECM's) permit consistent estimation of the cointegration space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration space is greater than one. Indeed, individual...
Persistent link: https://www.econbiz.de/10005762598
We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating regression and autoregression. Our treatment directly...
Persistent link: https://www.econbiz.de/10005464027
The bootstrap is shown to be inconsistent in spurious regression. The failure of the bootstrap is spectacular in that the bootstrap effectively turns a spurious regression into a cointegrating regression. In particular, the serial correlation coefficient of the residuals in the bootstrap...
Persistent link: https://www.econbiz.de/10005593430
A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....
Persistent link: https://www.econbiz.de/10005593449
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is...
Persistent link: https://www.econbiz.de/10005593511
We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...
Persistent link: https://www.econbiz.de/10010817211
This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips-Hansen...
Persistent link: https://www.econbiz.de/10005634719
This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...
Persistent link: https://www.econbiz.de/10010895635
This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...
Persistent link: https://www.econbiz.de/10010895669