Nonparametric transformation regression with nonstationary data

Oliver Linton, Qiying Wang

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Abstract

We examine a kernel regression estimator for time series that takes account of the error correlation structure as proposed by Xiao et al. (2003, Journal of the American Statistical Association 98, 980-992). We show that this method continues to improve estimation in the case where the regressor is a unit root or a near unit root process.

Original languageEnglish
Pages (from-to)1-29
Number of pages29
JournalEconometric Theory
Volume32
Issue number1
DOIs
Publication statusPublished - Feb 2016
Externally publishedYes

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