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Piecewise local linear estimation of functional equilibrium relationships

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  • Pitarakis, Jean-Yves
  • Banerjee, Anurag

Abstract

We introduce a new nonparametric approach for estimating a simple varying coeffcient model with a unit root nonstationarity. Our method is based on a piecewise local least squares principle and is computationally simple to implement. We establish its asymptotic properties and evaluate its performance in finite samples. Our working model also allows us to formalise the concept of a long run functional equilibrium relationship analogous to the well known cointegration concept within a constant coefficient setting

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Bibliographic Info

Paper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 1109.

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Date of creation: 01 Sep 2011
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Handle: RePEc:stn:sotoec:1109

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