Consistent estimator of nonparametric structural spurious regression model for high frequency data

DOI10.1016/j.econlet.2017.10.007zbMath1401.62059OpenAlexW2767727655MaRDI QIDQ1787219

Minsoo Jeong

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.10.007

zbMATH Keywords

consistencyasymptotic normalitynonparametric regressionhigh frequency datanonstationary error termstructural spurious regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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