Browse IFS
Publication types
cemmap Working Papers
April 2013 CWP16/13
Article
Non-parametric transformation regression with non-stationary data
Type: cemmap Working Papers
Authors: Oliver Linton and Qiying Wang

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.

Download full version ( 299 KB)

Search

Title (or part of title)
Author surname (or part of surname)