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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
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http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd11-207.pdf (application/pdf)

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Journal Article: Nonparametric LAD cointegrating regression (2013) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd11-207

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