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NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA

Oliver Linton () and Qiying Wang ()

Econometric Theory, 2016, vol. 32, issue 1, 1-29

Abstract: We examine a kernel regression estimator for time series that takes account of the error correlation structure as proposed by Xiao et al. (2003, Journal of the American Statistical Association 98, 980–992). We show that this method continues to improve estimation in the case where the regressor is a unit root or a near unit root process.

Date: 2016
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Working Paper: Non-parametric transformation regression with non-stationary data (2013) Downloads
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