Nonparametric Kernel-Based Estimation for Time-Varying Coefficient Models with Multivariate Integrat

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：yangmx198808

【摘要】

：

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time,and considers time-varying coefficient functions estimated by nonparametric kernel

【作者】

：

Degui Li Peter C.B.Phillips Jiti Gao

【机构】

：

Department of Mathematics,University of York,YO10 5DD,UK

【出处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Cointegration Kernel degeneracy Nonparametric regression Super-consistency Time

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　　This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time,and considers time-varying coefficient functions estimated by nonparametric kernel methods.

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Nonparametric Kernel-Based Estimation for Time-Varying Coefficient Models with Multivariate Integrat

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