Consistent estimator of nonparametric structural spurious regression model for high frequency data

Minsoo Jeong

Economics Letters, 2018, vol. 162, issue C, 18-21

Abstract: We propose a new nonparametric estimator for continuous-time regression models with nonstationary error terms. While other conventional nonparametric estimators such as the Nadaraya–Watson and local linear estimators are not consistent, our estimator achieves consistency and asymptotic normality.

Keywords: Nonparametric regression; Nonstationary error term; Structural spurious regression; Consistency; High frequency data (search for similar items in EconPapers)
JEL-codes: C14 C22 C51 G10 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:162:y:2018:i:c:p:18-21

DOI: 10.1016/j.econlet.2017.10.007

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