NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA

B-Tier
Journal: Econometric Theory
Year: 2016
Volume: 32
Issue: 1
Pages: 1-29

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We examine a kernel regression estimator for time series that takes account of the error correlation structure as proposed by Xiao et al. (2003, Journal of the American Statistical Association 98, 980–992). We show that this method continues to improve estimation in the case where the regressor is a unit root or a near unit root process.

Technical Details

RePEc Handle
repec:cup:etheor:v:32:y:2016:i:01:p:1-29_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25