A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly exogenous. The parametric regressors may be stationary or nonstationary and the nonparametric regressors are nonstationary integrated time series. Semiparametric least squares (SLS) estimation is considered and its asymptotic properties are derived. Due to endogeneity in the parametric regressors, SLS is not consistent for the parametric component and a semiparametric instrumental variable (SIV) method is proposed instead. Under certain regularity conditions, the SIV estimator of the parametric component is shown to have a limiting normal distribution. The rate of convergence in the parametric component depends on the properties of the regressors. The conventional rate may apply even when nonstationarity is involved in both sets of regressors. (C) 2013 Elsevier B.V. All rights reserved.
Endogeneity, Integrated process, Nonstationarity, Partial linear model, Simultaneity, Vector semiparametric regression
Journal of Econometrics
GAO, Jiti and PHILLIPS, Peter C. B..
Semiparametric Estimation in Triangular System Equations with Nonstationarity. (2013). Journal of Econometrics. 176, (1), 59-79. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/1827
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