New asymptotics applied to functional coefficient regression and climate sensitivity analysis

Qiying Wang, Peter Phillips and Ying Wang
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Qiying Wang: University of Sydney
Ying Wang: Renmin University of China

No 2365, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: A general asymptotic theory is established for sample cross moments of nonstationary time series, allowing for long range dependence and local unit roots. The theory provides a substantial extension of earlier results on nonparametric regression that include near-cointegrated nonparametric regression as well as spurious nonparametric regression. Many new models are covered by the limit theory, among which are functional coefficient regressions in which both regressors and the functional covariate are nonstationary. Simulations show finite sample performance matching well with the asymptotic theory and having broad relevance to applications, while revealing how dual nonstationarity in regressors and covariates raises sensitivity to bandwidth choice and the impact of dimensionality in nonparametric regression.

Pages: 46 pages
Date: 2023-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-inv
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