English

Nonparametric estimation in a nonlinear cointegration type model

Statistics Theory 2009-09-29 v1 Statistics Theory

Abstract

We derive an asymptotic theory of nonparametric estimation for a time series regression model Zt=f(Xt)+WtZ_t=f(X_t)+W_t, where \ensuremath\{X_t\} and \ensuremath\{Z_t\} are observed nonstationary processes and {Wt}\{W_t\} 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 {Xt}\{X_t\} 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 {Wt}\{W_t\} is a Markov chain satisfying some mixing conditions. The finite-sample properties of f^(x)\hat{f}(x) are studied by means of simulation experiments.

Keywords

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)

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