Semiparametric Estimation in Multivariate Nonstationary Time Series Models

Jiti Gao and Peter Phillips

No 17/11, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly exogenous. The parametric regressors may be stationary or nonstationary and the nonparametric regressors are nonstationary integrated time series. Semiparametric least squares (SLS) estimation is considered and its asymptotic properties are derived. Due to endogeneity in the parametric regressors, SLS is not consistent for the parametric component and a semiparametric instrumental variable (SIV) method is proposed instead. Under certain regularity conditions, the SIV estimator of the parametric component is shown to have a limiting normal distribution. The rate of convergence in the parametric component depends on the properties of the regressors. The conventional √n rate may apply even when nonstationarity is involved in both sets of regressors.

Keywords: Endogeneity; integrated process, nonstationarity; partial linear model; simultaneity; vector semiparametric regression. (search for similar items in EconPapers)
JEL-codes: C23 C25 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2011-09-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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