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NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS

Published online by Cambridge University Press:  06 July 2012

Qiying Wang  and
Ying Xiang Rachel Wang
Qiying Wang*
Affiliation:
The University of Sydney
Ying Xiang Rachel Wang
Affiliation:
The University of Sydney
*
*Address correspondence to Qiying Wang, School of Mathematics and Statistics, The University of Sydney, NSW 2006, Australia; e-mail: qiying.wang@sydney.edu.au.
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Abstract

This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop atwo-stage approach for the estimation of the heterogeneity generating function.

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ARTICLES
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Econometric Theory , Volume 29 , Issue 1 , February 2013 , pp. 1 - 27
Copyright
Copyright © Cambridge University Press 2012 

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Footnotes

The authors thank the co-editor Professor Saikkonen and two referees for helpful comments on the original version. The main idea of this paper greatly benefited from discussions with Professor Phillips when the first author visited Singapore Management University in April 2009. Wang acknowledges partial research support from the Australian Research Council.

References

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