학술저널
Local Linear Estimation of Nonparametric Cointegrating Regression
- 한국계량경제학회
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS
- Vol.21 No.1
-
2010.0323 - 42 (20 pages)
- 49
커버이미지 없음
Nonparametric estimation of a nonlinear cointegrating regression model is stud-ied. This paper offers the asymptotic theory of the local linear estimator for a nonlinear cointegrating regression model. It is shown that the local linear estimator has the same asymptotic distribution as the Nadaraya-Watson estimator in a nonparametric cointegrat-ing regression, and the asymptotic orders for the biases of the two nonparametric estimators will be provided. Monte Carlo simulation shows that the finite sample performances of the local linear estimator outperform those of Nadaraya- Watson estimator.
Abstract
1. Introduction
2. Model and Assumptions
3. Local Linear Estimation
4. Simulations
5. Concluding Remarks
References
(0)
(0)