Local Linear Estimation of Nonparametric Cointegrating Regression
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
Nonparametric estimation of a nonlinear cointegrating regression model is stud-ied. This paper offers the asymptotic theory of the local linear estimator for a nonlinear cointegrating regression model. It is shown that the local linear estimator has the same asymptotic distribution as the Nadaraya-Watson estimator in a nonparametric cointegrat-ing regression, and the asymptotic orders for the biases of the two nonparametric estimators will be provided. Monte Carlo simulation shows that the finite sample performances of the local linear estimator outperform those of Nadaraya-Watson estimator.
Abstract
Nonparametric estimation of a nonlinear cointegrating regression model is stud-ied. This paper offers the asymptotic theory of the local linear estimator for a nonlinear cointegrating regression model. It is shown that the local linear estimator has the same asymptotic distribution as the Nadaraya-Watson estimator in a nonparametric cointegrat-ing regression, and the asymptotic orders for the biases of the two nonparametric estimators will be provided. Monte Carlo simulation shows that the finite sample performances of the local linear estimator outperform those of Nadaraya-Watson estimator.
참고문헌 (16)
- Engle, R.F., "Cointegration and Error Correction: Represen-tation, Estimation and Testing", Econometrica, 55, pp.251~276 (1987)
- Granger, C.W.J., "Cointegrated variables and error-correcting models. UCSD dis-cussion paper" (1987), Univ. California
- Guerre, E., "Design-Adaptive pointwise nonparametric regression estimation for recurrent Markov time series" (2004), Unpublished manuscript
- Hall, P., "Martingale limit theory and its application, Probability and Mathematical Statistics" (1980), Academic Press, Inc.
- Hall, P., "Nonparametric methods for inference in the presence of instrumental variables", Annals of Statistics, 33, pp.2904~2929 (2005)
- Karlsen, H. A., "Nonparametric estimation in a nonlinear cointegration model", Annals of Statistics, 35, pp.252~299 (2007)
- Li, Q., "Nonparametric Econometrics: Theory and Practice" (2006), Princeton Univ. Press
- Nadaraya, E.A., "On estimating regression", Theory of Probability and its Applica-tions, 9, pp.141~142 (1964)
- Pagan, A., "Nonparametric Econometrics" (1999), Cambridge Univ. Press
- Park, J. Y., "Nonlinear regressions with integrated time series", Econometrica, 69, pp.117~161 (2001)
- Nonstationary Density Estimation and Kernel Autoregression, "Phillips, P. C. B.", ~, pp.Cowles Foundation discuss paper No. 1181 (1998)
- Stone, C.J., "Consistent nonparametric regression", Annals of Statistics, 5, pp.595~620 (1977)
- Wang, Q., "Asymptotic theory for local time density estima-tion and nonparametric cointegrating regression", Econometric Theory, 25, pp.1~29 (2009)
- Wang, Q., "Structural Nonparametric Cointegrating Regres-sion" (2009), Econometrica
- Asymptotic Theory for Zero Energy Density Es-timation with Nonparametric Regression Applications, "Wang, Q.", 143~164, pp.Cowles foundation discussion paper NO. 1687
- Watson, G.S., "Smooth regression analysis", Sankhy¹a, 26, pp.101~116 (1964)