Structural Nonparametric Cointegrating Regression
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Publication:3402306
DOI10.3982/ECTA7732zbMath1182.62088WikidataQ29397866 ScholiaQ29397866MaRDI QIDQ3402306
Qiying Wang, Peter C. B. Phillips
Publication date: 3 February 2010
Published in: Econometrica (Search for Journal in Brave)
Gaussian process; cointegration; unit root; nonlinear functional; Brownian local time; nonparametric regression; integrated process; kernel estimate; functional regression; structural estimation; near integration
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
91B84: Economic time series analysis
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