Advanced Search
MyIDEAS: Login to save this article or follow this journal

Partial parametric estimation for nonstationary nonlinear regressions

Contents:

Author Info

  • Kim, Chang Sik
  • Kim, In-Moo

Abstract

This paper proposes an estimation method for a partial parametric model with multiple integrated time series. Our estimation procedure is based on the decomposition of the nonparametric part of the regression function into homogeneous and integrable components. It consists of two steps: In the first step we parameterize and fit the homogeneous component of the nonparametric part by the nonlinear least squares with other parametric terms in the model, and use in the second step the standard kernel method to nonparametrically estimate the integrable component of the nonparametric part from the residuals in the first step. We establish consistency and obtain the asymptotic distribution of our estimator. A simulation shows that our estimator performs well in finite samples. For the empirical illustration, we estimate the money demand functions for the US and Japan using our model and methodology.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S0304407611002089
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 167 (2012)
Issue (Month): 2 ()
Pages: 448-457

as in new window
Handle: RePEc:eee:econom:v:167:y:2012:i:2:p:448-457

Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Partial parametric model; Two-step estimator; Nonstationary nonparametric cointegrating regression; Nonstationary nonlinear regression;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Fujiwara, Ippei & Nakajima, Tomoyuki & Sudo, Nao & Teranishi, Yuki, 2013. "Global liquidity trap," Journal of Monetary Economics, Elsevier, vol. 60(8), pages 936-949.
  2. Laurence Ball, 1998. "Another Look at Long-Run Money Demand," NBER Working Papers 6597, National Bureau of Economic Research, Inc.
  3. Youngsoo Bae & Robert M. de Jong, 2007. "Money demand function estimation by nonlinear cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 767-793.
  4. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-61, January.
  5. Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
  6. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  7. Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(03), pages 710-738, June.
  8. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
  9. Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
  10. Duca, John V. & VanHoose, David D., 2004. "Recent developments in understanding the demand for money," Journal of Economics and Business, Elsevier, vol. 56(4), pages 247-272.
  11. Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation for Research in Economics, Yale University.
  12. Chang Sik Kim & Joon Park, 2010. "Cointegrating Regressions with Time Heterogeneity," Econometric Reviews, Taylor & Francis Journals, vol. 29(4), pages 397-438.
  13. Paul R. Krugman, 1998. "It's Baaack: Japan's Slump and the Return of the Liquidity Trap," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(2), pages 137-206.
  14. Qiying Wang & Peter C.B. Phillips, 2008. "Structural Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1657, Cowles Foundation for Research in Economics, Yale University.
  15. Bae, Youngsoo & Kakkar, Vikas & Ogaki, Masao, 2006. "Money Demand in Japan and Nonlinear Cointegration," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1659-1667, September.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:167:y:2012:i:2:p:448-457. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.