NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA
Oliver Linton () and
Qiying Wang ()
Econometric Theory, 2016, vol. 32, issue 1, 1-29
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, 980â€“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.
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Working Paper: Non-parametric transformation regression with non-stationary data (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:32:y:2016:i:01:p:1-29_00
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