Robust estimation in a nonlinear cointegration model

DOI10.1016/j.jmva.2009.09.004zbMath1181.62126OpenAlexW2088522407MaRDI QIDQ847424

Degui Li, Jia Chen, Zhang, Lixin

Publication date: 12 February 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.09.004

zbMATH Keywords

cointegration modellocal time densitynonparametric \(M\)-estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

Related Items (5)

UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Nonparametric LAD cointegrating regression ⋮ UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION ⋮ Estimation of semi-varying coefficient models with nonstationary regressors

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