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ASYMPTOTIC THEORY FOR LOCAL TIME DENSITYESTIMATION AND NONPARAMETRIC COINTEGRATINGREGRESSION

Published online by Cambridge University Press:  01 June 2009

Qiying Wang  and
Peter C.B. Phillips
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Abstract

Asymptotic theory is developed for local time densityestimation for a general class of functionals ofintegrated and fractionally integrated time series.The main result provides a convenient basis fordeveloping a limit theory for nonparametriccointegrating regression and nonstationaryautoregression. The treatment directly involveslocal time estimation and the density function ofthe processes under consideration, providing analternative approach to the Markov chain and Fourierintegral methods that have been used in other recentwork on these problems.

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Type
Research Article
Information
Econometric Theory , Volume 25 , Issue 3 , June 2009 , pp. 710 - 738
Copyright
Copyright © Cambridge University Press 2009

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Footnotes

The authors thank the co-editor and two refereesfor helpful comments on the original version. Wangacknowledges partial research support from theAustralian Research Council. Phillips acknowledgespartial research support from a Kelly Fellowshipand the NSF under grant, SES 04-142254 and SES06-47086. Wang can be contacted at qiying@maths.usyd.edu.au.

References

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