Estimating smooth structural change in cointegration models

DOI10.1016/j.jeconom.2016.09.013zbMath1443.62284MaRDI QIDQ341906

Peter C. B. Phillips, Degui Li, J. T. Gao

Publication date: 17 November 2016

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

Full work available at URL: https://eprints.soton.ac.uk/409660/1/PLGJE2014196_June_03_2016B.pdf

zbMATH Keywords

endogeneity; cointegration; nonparametric regression; time varying coefficients; kernel degeneracy; super-consistency

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Uses Software

• KernSmooth