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Non-parametric transformation regression with non-stationary data

Authors: Oliver Linton and Qiying Wang
Date: 23 April 2013
Type: cemmap Working Paper, CWP16/13
DOI: 10.1920/wp.cem.2013.1613

Abstract

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

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Now published:
Oliver Linton and Qiying Wang February 2016, Nonparametric transformation regression with non-stationary data, Journal Article, Cambridge Journals

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