Nonparametric LAD cointegrating regression
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.
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.
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.
Volume (Year): 117 (2013)
Issue (Month): C ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
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.:
- 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.
- Honda, Toshio, 2007. "Nonparametric Estimation of Conditional Medians for Linear and Related Processes," Discussion Papers 2005-04, Graduate School of Economics, Hitotsubashi University.
- Qiying Wang & Peter C. B. Phillips, 2009.
"Structural Nonparametric Cointegrating Regression,"
Econometric Society, vol. 77(6), pages 1901-1948, November.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- 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.
- 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.
- 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.
- Zhijie Xiao, 2009.
"Quantile Cointegrating Regression,"
Boston College Working Papers in Economics
708, Boston College Department of Economics.
- 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.
- 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.
- repec:cup:cbooks:9780521608275 is not listed on IDEAS
- Peter Hall & Liang Peng & Qiwei Yao, 2002. "Prediction and nonparametric estimation for time series with heavy tails," LSE Research Online Documents on Economics 6086, London School of Economics and Political Science, LSE Library.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
- 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.
- repec:cup:cbooks:9780521845731 is not listed on IDEAS
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(01), pages 169-192, February.
- 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.
- Toshio Honda, 2000. "Nonparametric Estimation of a Conditional Quantile for α-Mixing Processes," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(3), pages 459-470, September.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:117:y:2013:i:c:p:150-162. 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 references are entirely missing, you can add them using this form.