ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION

Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing a limit theory for nonparametric cointegrating regression and nonstationary autoregres...

Full description

Saved in:

Bibliographic Details
Published in:	Econometric theory Vol. 25; no. 3; pp. 710 - 738
Main Authors:	Wang, Qiying, Phillips, Peter C.B.
Format:	Journal Article
Language:	English
Published:	New York, USA Cambridge University Press 01.06.2009
Subjects:	Alternative approaches Asymptotic methods Asymptotic theory Bandwidths Brownian motion Cointegration Density Density estimation Econometrics Economic theory Estimation Estimation theory Markov analysis Martingales Mathematical methods Model testing Nonparametric models Probabilities Random variables Regression analysis Stochastic models Studies Theory Time Time series
ISSN:	0266-4666, 1469-4360
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!