Nonparametric transformation regression with nonstationary data

Oliver Linton; Qiying Wang

doi:10.1017/S026646661400070X

Nonparametric transformation regression with nonstationary data

Oliver Linton, Qiying Wang

Research output: Contribution to journal › Article › Research › peer-review

6 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 language	English
Pages (from-to)	1-29
Number of pages	29
Journal	Econometric Theory
Volume	32
Issue number	1
DOIs	https://doi.org/10.1017/S026646661400070X
Publication status	Published - Feb 2016
Externally published	Yes

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Nonparametric transformation regression with nonstationary data

Abstract

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