Nonparametric regression with nearly integrated regressors under long-run dependence

Cai, ZW; Jing, BY; Kong, XB; Liu, Z

Kong, XB (reprint author), Nanjing Audit Univ, Sch Sci, Nanjing, Jiangsu, Peoples R China.

ECONOMETRICS JOURNAL, 2017; 20 (1): 118

Abstract

We study the nonparametric estimation of a regression function with nonstationary (integrated or nearly integrated) covariates and the error series of......

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