Estimating smooth structural change in cointegration models

DOI10.1016/j.jeconom.2016.09.013zbMath1443.62284OpenAlexW3123612879MaRDI QIDQ341906

Degui Li, Peter C. B. Phillips, 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

endogeneitycointegrationnonparametric regressiontime varying coefficientskernel degeneracysuper-consistency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (19)

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Uses Software

• KernSmooth

Cites Work

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