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Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity

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  • Yiguo Sun

Abstract

type="main" xml:id="jtsa12075-abs-0001"> This article considers linear cointegrating models with unknown nonlinear short-run contemporaneous endogeneity. Two estimators are proposed to estimate the linear cointegrating parameter after the nonlinear endogenous component is estimated by local linear regression approach. Both the proposed estimators are shown to have the same mixed normal limiting distribution with zero mean and smaller asymptotic variance than the fully modified ordinary least squares and instrumental variables estimators. Monte Carlo simulations are used to evaluate the finite sample performance of our proposed estimators, and an empirical application is also included.

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  • Yiguo Sun, 2014. "Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 437-461, August.
    • Handle: RePEc:bla:jtsera:v:35:y:2014:i:5:p:437-461
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    References listed on IDEAS

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