Nonparametric LAD cointegrating regression

Toshio Honda

Journal of Multivariate Analysis, 2013, vol. 117, issue C, 150-162

Abstract: We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and error term can be contemporaneously correlated. The asymptotic properties of the Nadaraya–Watson estimator are already examined in the literature. In this paper, we consider nonparametric least absolute deviation (LAD) regression and derive the asymptotic distributions of the local constant and local linear estimators by appealing to the local time approach. We also present the results of a small simulation study.

Keywords: Nonlinear cointegration; Integrated process; Local time; Least absolute deviation; Local polynomial regression; Bias (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Working Paper: Nonparametric LAD Cointegrating Regression (2011)
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DOI: 10.1016/j.jmva.2013.02.009

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