Functional cointegration: definition and nonparametric estimation

DOI10.1515/snde-2013-0083zbMath1329.62369OpenAlexW2024304559MaRDI QIDQ905392

Jean-Yves Pitarakis, Anurag N. Banerjee

Publication date: 19 January 2016

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/22739/1/22739.pdf

zbMATH Keywords

cointegrationunit rootsfunctional coefficientspiecewise local linear estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Empirical likelihood for semivarying coefficient model with measurement error in the nonparametric part, Functional-coefficient cointegration models in the presence of deterministic trends

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