Nonparametric LAD Cointegrating Regression
Toshio Honda
Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University
Abstract:
We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and dependent variable can be contemporaneously correlated. The asymptotic properties of the Nadaraya-Watson estimator are already examined in the literature. In this paper, we consider nonparametric least absolute deviation (LAD) regression and derive the asymptotic distributions of the local constant and local linear estimators by appealing to the local time approach.
Keywords: Nonlinear Cointegration; Integrated Process; Local Time; Least Absolute Deviation; Local Polynomial Regression; Bias (search for similar items in EconPapers)
Date: 2011-10
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:
Downloads: (external link)
http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd11-207.pdf (application/pdf)
Related works:
Journal Article: Nonparametric LAD cointegrating regression (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd11-207
Access Statistics for this paper
More papers in Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University Contact information at EDIRC.
Bibliographic data for series maintained by Tatsuji Makino (makino@ier.hit-u.ac.jp).