NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS

被引：12
|
作者：
Wang, Qiying [1 ]
Wang, Ying Xiang Rachel [1 ]
机构：
[1] Univ Sydney, Sydney, NSW 2006, Australia
来源：
ECONOMETRIC THEORY | 2013年 / 29卷 / 01期
基金：
澳大利亚研究理事会;
关键词：
UNIFORM-CONVERGENCE RATES; TIME-SERIES; ASYMPTOTIC THEORY; HETEROSKEDASTICITY;
D O I：
10.1017/S0266466612000205
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop a two-stage approach for the estimation of the heterogeneity generating function.
引用
收藏
页码：1 / 27
页数：27
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