Journal Article

Non-parametric transformation regression with non-stationary data

Authors

Oliver Linton, Qiying Wang

Published Date

10 October 2014

Type

Journal Article

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.