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Nonparametric transformation regression with non-stationary data

Authors: Oliver Linton and Qiying Wang
Date: 28 February 2016
Type: Journal Article, Econometric Theory, Vol. 32, No. 1, pp. 1--29
DOI: 10.1017/S026646661400070X

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.

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Oliver Linton and Qiying Wang April 2013, Non-parametric transformation regression with non-stationary data, cemmap Working Paper, CWP16/13, Institute for Fiscal Studies

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