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Nonparametric LAD cointegrating regression

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  • Honda, Toshio

Abstract

We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and error term can be contemporaneously correlated. The asymptotic properties of the Nadaraya–Watson estimator are already examined in the literature. In this paper, we consider nonparametric least absolute deviation (LAD) regression and derive the asymptotic distributions of the local constant and local linear estimators by appealing to the local time approach. We also present the results of a small simulation study.

Suggested Citation

  • Honda, Toshio, 2013. "Nonparametric LAD cointegrating regression," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 150-162.
    • Handle: RePEc:eee:jmvana:v:117:y:2013:i:c:p:150-162
    DOI: 10.1016/j.jmva.2013.02.009
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    1. Toshio Honda, 2010. "Nonparametric estimation of conditional medians for linear and related processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 995-1021, December.
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    Cited by:

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    2. YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.

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