Estimation of nonstationary nonparametric regression model with multiplicative structure

Income and wealth distribution in macroeconomics: A continuous-time approach

Likai Chen, Ekaterina Smetanina and Wei Biao Wu

The Econometrics Journal, 2022, vol. 25, issue 1, 176-214

Abstract: SummaryThis paper presents a multiplicative nonstationary nonparametric regression model which allows for a broad class of nonstationary processes. We propose a three-step estimation procedure to uncover the conditional mean function and establish uniform convergence rates and asymptotic normality of our estimators. The new model can also be seen as a dimension-reduction technique for a general two-dimensional time-varying nonparametric regression model, which is especially useful in small samples and for estimating explicitly multiplicative structural models. We consider two applications: estimating a pricing equation for the US aggregate economy to model consumption growth and estimating the shape of the monthly risk premium for S&P 500 Index data.

Keywords: Nonparametric regression; functional dependence measure; risk premium; consumption growth (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:25:y:2022:i:1:p:176-214.

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