Kernel-based inference in time-varying coefficient cointegrating regression

DOI10.1016/J.JECONOM.2019.10.005zbMATH Open1456.62203OpenAlexW2751213565MaRDI QIDQ2182148FDOQ2182148

Authors: Degui Li, Peter C. B. Phillips, Jiti 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

Recommendations

• Estimating smooth structural change in cointegration models
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Functional-coefficient cointegration models
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• Nonlinear econometric models with cointegrated and deterministically trending regressors

zbMATH Keywords

cointegrationkernel degeneracysuper-consistencytime-varying coefficientsglobal rotationlocal rotationgeneralized Wald testFM-kernel estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited In (2)

• Sieve bootstrap inference for linear time-varying coefficient models
• A kernel regression model for panel count data with time-varying coefficients

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