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 language | English |
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Pages (from-to) | 1-29 |
Number of pages | 29 |
Journal | Econometric Theory |
Volume | 32 |
Issue number | 1 |
DOIs | |
Publication status | Published - Feb 2016 |
Externally published | Yes |