Nonparametric estimation in a nonlinear cointegration type model
Abstract
We derive an asymptotic theory of nonparametric estimation for a time series regression model , where \ensuremath\{X_t\} and \ensuremath\{Z_t\} are observed nonstationary processes and is an unobserved stationary process. In econometrics, this can be interpreted as a nonlinear cointegration type relationship, but we believe that our results are of wider interest. The class of nonstationary processes allowed for is a subclass of the class of null recurrent Markov chains. This subclass contains random walk, unit root processes and nonlinear processes. We derive the asymptotics of a nonparametric estimate of f(x) under the assumption that is a Markov chain satisfying some mixing conditions. The finite-sample properties of are studied by means of simulation experiments.
Cite
@article{arxiv.0708.0503,
title = {Nonparametric estimation in a nonlinear cointegration type model},
author = {Hans Arnfinn Karlsen and Terje Myklebust and Dag Tjøstheim},
journal= {arXiv preprint arXiv:0708.0503},
year = {2009}
}
Comments
Published at http://dx.doi.org/10.1214/009053606000001181 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)