Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

Biqing Cai (), Chaohua Dong () and Jiti Gao

No 18/15, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point–wise and the space metric sense for the estimator. The Monte Carlo simulation results show that the performance of the proposed estimate is numerically satisfactory.

Keywords: Cointegration; endogeneity; Hermite functions; series estimator; unit root (search for similar items in EconPapers)
JEL-codes: C14 C22 G17 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.monash.edu/__data/assets/pdf_file/0010/925876/wp18-15.pdf (application/pdf)

Related works:
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:msh:ebswps:2015-18

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().