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Nonparametric estimation of a nonlinear cointegrating regression model is stud-ied. This paper offers the asymptotic theory of the local linear estimator for a nonlinear cointegrating regression model. It is shown that the local linear estimator has the same asymptotic distribution as the Nadaraya-Watson estimator in a nonparametric cointegrat-ing regression, and the asymptotic orders for the biases of the two nonparametric estimators will be provided. Monte Carlo simulation shows that the finite sample performances of the local linear estimator outperform those of Nadaraya-Watson estimator.
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참고문헌 (16)
참고문헌 신청
Engle, R.F. / 1987 / Cointegration and Error Correction: Represen-tation, Estimation and Testing / Econometrica 55 : 251 ~ 276
Granger, C.W.J. / 1987 / Cointegrated variables and error-correcting models. UCSD dis-cussion paper / Univ. California
Guerre, E. / 2004 / Design-Adaptive pointwise nonparametric regression estimation for recurrent Markov time series / Unpublished manuscript
Hall, P. / 1980 / Martingale limit theory and its application, Probability and Mathematical Statistics / Academic Press, Inc.
Hall, P. / 2005 / Nonparametric methods for inference in the presence of instrumental variables / Annals of Statistics 33 : 2904 ~ 2929
Granger, C.W.J. / 1987 / Cointegrated variables and error-correcting models. UCSD dis-cussion paper / Univ. California
Guerre, E. / 2004 / Design-Adaptive pointwise nonparametric regression estimation for recurrent Markov time series / Unpublished manuscript
Hall, P. / 1980 / Martingale limit theory and its application, Probability and Mathematical Statistics / Academic Press, Inc.
Hall, P. / 2005 / Nonparametric methods for inference in the presence of instrumental variables / Annals of Statistics 33 : 2904 ~ 2929
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