Consistent estimator of nonparametric structural spurious regression model for high frequency data
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Publication:1787219
DOI10.1016/j.econlet.2017.10.007zbMath1401.62059OpenAlexW2767727655MaRDI QIDQ1787219
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
consistencyasymptotic normalitynonparametric regressionhigh frequency datanonstationary error termstructural spurious regression
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)
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