dc.contributor.author |
Wang, Q |
en |
dc.contributor.author |
Phillips, Peter |
en |
dc.date.accessioned |
2012-01-18T23:22:27Z |
en |
dc.date.issued |
2009 |
en |
dc.identifier.citation |
Econometrica 77(6):1901-1948 2009 |
en |
dc.identifier.issn |
0012-9682 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/10594 |
en |
dc.description.abstract |
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is known to be a major complication that affects identification, induces bias in conventional kernel estimates, and frequently leads to ill-posed inverse problems. In functional cointegrating regressions where the regressor is an integrated or near-integrated time series, it is shown here that inverse and ill-posed inverse problems do not arise. Instead, simple nonparametric kernel estimation of a structural nonparametric cointegrating regression is consistent and the limit distribution theory is mixed normal, giving straightforward asymptotics that are useable in practical work. It is further shown that use of augmented regression, as is common in linear cointegration modeling to address endogeneity, does not lead to bias reduction in nonparametric regression, but there is an asymptotic gain in variance reduction. The results provide a convenient basis for inference in structural nonparametric regression with nonstationary time series when there is a single integrated or near-integrated regressor. The methods may be applied to a range of empirical models where functional estimation of cointegrating relations is required. |
en |
dc.publisher |
Econometric Society |
en |
dc.relation.ispartofseries |
Econometrica |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/0012-9682/ |
en |
dc.rights |
The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org/. It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for-profit commercial firm or other commercial purpose without the explicit permission of the Econometric Society. For this purpose, contact Claire Sashi, General Manager, at sashi@econometricsociety.org. |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.title |
Structural Nonparametric Cointegrating Regression |
en |
dc.type |
Journal Article |
en |
dc.identifier.doi |
10.3982/ECTA7732 |
en |
pubs.issue |
6 |
en |
pubs.begin-page |
1901 |
en |
pubs.volume |
77 |
en |
dc.rights.holder |
Copyright: 2009 The Econometric Society |
en |
pubs.end-page |
1948 |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
en |
pubs.elements-id |
98269 |
en |
pubs.org-id |
Business and Economics |
en |
pubs.org-id |
Economics |
en |
pubs.record-created-at-source-date |
2010-09-01 |
en |