Chen, Jia; Li, Degui; Zhang, Lixin - In: Journal of Multivariate Analysis 101 (2010) 3, pp. 706-717
This paper considers the nonparametric M-estimator in a nonlinear cointegration type model. The local time density argument, which was developed by Phillips and Park (1998)Â [6] and Wang and Phillips (2009)Â [9], is applied to establish the asymptotic theory for the nonparametric...