UNIFORM CONVERGENCE RATES OVER MAXIMAL DOMAINS IN STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION

DOI10.1017/S0266466616000451zbMath1396.62077arXiv1505.01787OpenAlexW838641962MaRDI QIDQ5371154

James A. Duffy

Publication date: 25 October 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.01787

zbMATH Keywords

kernel regression estimatorsnonparametric cointegrating regression

Mathematics Subject Classification ID

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

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OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION, Model checks for nonlinear cointegrating regression, Testing for a unit root with nonstationary nonlinear heteroskedasticity, LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY

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