Nonparametric estimation in a nonlinear cointegration type model

DOI10.1214/009053606000001181zbMath1114.62089arXiv0708.0503OpenAlexW3106220298MaRDI QIDQ997380

Dag Tjøstheim, Hans Arnfinn Karlsen, Terje Myklebust

Publication date: 23 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.0503

zbMATH Keywords

cointegration nonparametric kernel estimators transfer function model nonstationary time series models null recurrent Markov chain

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

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