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NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA

Published online by Cambridge University Press:  10 October 2014

Oliver Linton  and
Qiying Wang
Oliver Linton*
Affiliation:
University of Cambridge
Qiying Wang
Affiliation:
University of Sydney
*
*Address correspondence to Oliver Linton, Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, Cambridge CB3 9DD, United Kingdom; e-mail: [email protected].
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Abstract

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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.

Type
ARTICLES
Information
Econometric Theory , Volume 32 , Issue 1 , February 2016 , pp. 1 - 29
Copyright
Copyright © Cambridge University Press 2014 

References

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