Kernel-based inference in time-varying coefficient cointegrating regression
DOI10.1016/j.jeconom.2019.10.005zbMath1456.62203OpenAlexW2751213565MaRDI QIDQ2182148
Degui Li, Peter C. B. Phillips, J. T. Gao
Publication date: 21 May 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://cowles.yale.edu/sites/default/files/files/pub/d30/d3009-a.pdf
cointegrationtime-varying coefficientskernel degeneracysuper-consistencyglobal rotationlocal rotationgeneralized Wald testFM-kernel estimation
Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
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Cites Work
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