In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...

This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo...

This paper discusses nonparametric series estimation of integrable cointegration models using Hermite functions. We establish the uniform consistency and asymptotic normality of the series estimator. The Monte Carlo simulation results show that the performance of the estimator is numerically...