Nonparametric LAD Cointegrating Regression
AbstractWe deal with nonparametric estimation in a nonlinear cointegration model whose regressor and dependent variable 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.
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Bibliographic InfoPaper provided by Institute of Economic Research, Hitotsubashi University in its series Global COE Hi-Stat Discussion Paper Series with number gd11-207.
Date of creation: Oct 2011
Date of revision:
Nonlinear Cointegration; Integrated Process; Local Time; Least Absolute Deviation; Local Polynomial Regression; Bias;
Other versions of this item:
- NEP-ALL-2012-02-01 (All new papers)
- NEP-ECM-2012-02-01 (Econometrics)
- NEP-ETS-2012-02-01 (Econometric Time Series)
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