NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS

Qiying Wang () and Ying Xiang Rachel Wang

Econometric Theory, 2013, vol. 29, issue 1, 1-27

Abstract: This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop atwo-stage approach for the estimation of the heterogeneity generating function.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:29:y:2013:i:01:p:1-27_00

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