Journal Article

Nonparametric transformation regression with non-stationary data


Oliver Linton, Qiying Wang

Published Date

28 February 2016


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.

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