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Nonparametric LAD Cointegrating Regression

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  • Toshio Honda
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    Abstract

    We 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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    File URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd11-207.pdf
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    Bibliographic Info

    Paper provided by Institute of Economic Research, Hitotsubashi University in its series Global COE Hi-Stat Discussion Paper Series with number gd11-207.

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    Date of creation: Oct 2011
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    Handle: RePEc:hst:ghsdps:gd11-207

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    Related research

    Keywords: Nonlinear Cointegration; Integrated Process; Local Time; Least Absolute Deviation; Local Polynomial Regression; Bias;

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    1. Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
    2. Hall, Peter & Peng, Liang & Yao, Qiwei, 2002. "Prediction and nonparametric estimation for time series with heavy tails," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
    3. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355, March.
    4. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    5. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    6. Qiying Wang & Peter C.B. Phillips, 2006. "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1594, Cowles Foundation for Research in Economics, Yale University.
    7. Qiying Wang & Peter C.B. Phillips, 2008. "Structural Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1657, Cowles Foundation for Research in Economics, Yale University.
    8. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    9. Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(01), pages 169-192, February.
    10. Jia Chen & Jiti Gao & Degui Li, 2009. "Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series," School of Economics Working Papers 2009-02, University of Adelaide, School of Economics.
    11. Wang, Qiying & Phillips, Peter C.B., 2011. "Asymptotic Theory For Zero Energy Functionals With Nonparametric Regression Applications," Econometric Theory, Cambridge University Press, vol. 27(02), pages 235-259, April.
    12. Toshio Honda, 2010. "Nonparametric estimation of conditional medians for linear and related processes," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(6), pages 995-1021, December.
    13. Chen, Jia & Li, Degui & Zhang, Lixin, 2010. "Robust estimation in a nonlinear cointegration model," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 706-717, March.
    14. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
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