Functional-coefficient cointegration models

DOI10.1016/j.jeconom.2009.01.008zbMath1431.62425OpenAlexW2064069418MaRDI QIDQ2630069

Zhijie Xiao

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.01.008

zbMATH Keywords

cointegrationnonparametriclocal polynomialtime varyingfunctional coefficients

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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