When bias contributes to variance: true limit theory in functional coefficient cointegrating regression

DOI10.1016/j.jeconom.2021.09.007OpenAlexW3209343125MaRDI QIDQ2682958

Peter C. B. Phillips, Ying Wang

Publication date: 1 February 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.09.007

zbMATH Keywords

kernel regressionbandwidth selectionnonstationaritybias variabilityfunctional coefficient cointegration

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION ⋮ Functional coefficient cointegration models with Box-Cox transformation

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