Nonparametric LAD cointegrating regression

JOURNAL OF MULTIVARIATE ANALYSIS

卷:117

Article

Honda, Toshio

关键词: Nonlinear cointegration;    Integrated process;    Local time;    Least absolute deviation;    Local polynomial regression;    Bias;   

DOI  :  10.1016/j.jmva.2013.02.009

来源: Elsevier

【 摘 要 】

We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and error term can be contemporaneously correlated. The asymptotic properties of the Nadaraya-Watson estimator are already examined in the literature. In this paper, we consider nonparametric least absolute deviation (LAD) regression and derive the asymptotic distributions of the local constant and local linear estimators by appealing to the local time approach. We also present the results of a small simulation study. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

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