Robust estimation in a nonlinear cointegration model

DOI10.1016/j.jmva.2009.09.004zbMath1181.62126MaRDI QIDQ847424

Zhang, Lixin, Jia Chen, Degui Li

Publication date: 12 February 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.09.004

zbMATH Keywords

cointegration model; local time density; nonparametric \(M\)-estimator

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

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

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62G35: Nonparametric robustness

62G05: Nonparametric estimation