Non-Parametric Transformation Regression with Non-Stationary Data
30 Pages Posted: 23 Apr 2013
Date Written: April 22, 2013
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.
Keywords: Dependence, Efficiency, Cointegration, Non-stationarity, Non-parametric estimation
JEL Classification: C14, C22
Suggested Citation: Suggested Citation
Linton, Oliver B. and Wang, Qiying, Non-Parametric Transformation Regression with Non-Stationary Data (April 22, 2013). Available at SSRN: https://ssrn.com/abstract=2255034 or http://dx.doi.org/10.2139/ssrn.2255034
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