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Nonparametric LAD Cointegrating Regression

  • Toshio Honda

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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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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  1. 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.
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  9. 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.
  10. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  11. 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.
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  13. 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.
  14. Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
  15. Honda, Toshio, 2007. "Nonparametric Estimation of Conditional Medians for Linear and Related Processes," Discussion Papers 2005-04, Graduate School of Economics, Hitotsubashi University.
  16. 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.
  17. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355, April.
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  19. 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.
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