Structural Nonparametric Cointegrating Regression

DOI10.3982/ECTA7732zbMath1182.62088OpenAlexW3123721118WikidataQ29397866 ScholiaQ29397866MaRDI QIDQ3402306

Publication date: 3 February 2010

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta7732

zbMATH Keywords

Gaussian process cointegration unit root nonlinear functional Brownian local time nonparametric regression integrated process kernel estimate functional regression structural estimation near integration

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

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