Structural Nonparametric Cointegrating Regression
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References listed on IDEAS
- Whitney K. Newey & James L. Powell & Francis Vella, 1999.
"Nonparametric Estimation of Triangular Simultaneous Equations Models,"
Econometrica, Econometric Society, vol. 67(3), pages 565-604, May.
- Whitney Newey & James Powell & Francis Vella, 1998. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Working papers 98-16, Massachusetts Institute of Technology (MIT), Department of Economics.
- Whitney K. Newey & James L. Powell & Francis Vella, 1998. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Working papers 98-6, Massachusetts Institute of Technology (MIT), Department of Economics.
- Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, September.
More about this item
KeywordsBrownian Local time; Cointegration; Functional regression; Gaussian process; Integrated process; Kernel estimate; Nonlinear functional; Nonparametric regression; Structural estimation; Unit root;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2008-05-24 (Econometrics)
- NEP-ETS-2008-05-24 (Econometric Time Series)
- NEP-ORE-2008-05-24 (Operations Research)
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