Nonparametric LAD cointegrating regression

DOI10.1016/j.jmva.2013.02.009zbMath1359.62370OpenAlexW2161222827MaRDI QIDQ391595

Toshio Honda

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.02.009

zbMATH Keywords

local polynomial regressionlocal timebiasleast absolute deviationintegrated processnonlinear cointegration

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (2)

Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Nonstationary nonlinear quantile regression

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