Local Linear Estimation of a Nonparametric Cointegration Model

DOI10.1080/07474938.2014.956610zbMath1491.62109OpenAlexW1980734514MaRDI QIDQ5863566

Zhongjian Lin, Cheng Hsiao, Zhongwen Liang

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.956610

zbMATH Keywords

bandwidth selectioncross validationnonlinear cointegrationlocal linear

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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