Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
Publication Type
Journal Article
Publication Date
6-2009
Abstract
Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing it limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, providing an alternative approach to the Markov chain and Fourier integral methods that have been Used in other recent work on these problems.
Keywords
Brownian - motion, Convergence, Series, Functionals, Sums
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometric Theory
Volume
25
Issue
3
First Page
710
Last Page
738
ISSN
0266-4666
Identifier
10.1017/S0266466608090269
Publisher
Cambridge University Press
Citation
Wang, Q. Y. and Peter C. B. PHILLIPS.
Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression. (2009). Econometric Theory. 25, (3), 710-738.
Available at: https://ink.library.smu.edu.sg/soe_research/1810