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https://hdl.handle.net/2440/56441
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lin, Zhengyan | en |
dc.contributor.author | Li, Degui | en |
dc.contributor.author | Chen, Jia | en |
dc.date.issued | 2009 | en |
dc.identifier.citation | Statistica Sinica, 2009; 19:1683-1703 | en |
dc.identifier.issn | 1017-0405 | en |
dc.identifier.uri | http://hdl.handle.net/2440/56441 | - |
dc.description.abstract | In this paper, we study a nonlinear cointegration type model , where and are observed nonstationary processes and is an unobserved stationary process. The process is assumed to be a null-recurrent Markov chain. We apply a robust version of local linear regression smoothers to estimate . Under mild conditions, the uniform weak consistency and asymptotic normality of the local linear M-estimators are established. Furthermore, a one-step iterated procedure is introduced to obtain the local linear M-estimator and the optimal bandwidth selection is discussed. Meanwhile, some numerical examples are given to show that the proposed theory and methods perform well in practice. | en |
dc.description.statementofresponsibility | Zhengyan Lin, Degui Li and Jia Chen | en |
dc.description.uri | http://www3.stat.sinica.edu.tw/statistica/j19n4/19-4.html | en |
dc.language.iso | en | en |
dc.publisher | Statistica Sinica | en |
dc.subject | Asymptotic normality; -null recurrent Markov chain; cointegration model; consistency; local linear M-estimator. | en |
dc.title | Local linear M-estimators in null recurrent time series | en |
dc.type | Journal article | en |
dc.contributor.school | School of Economics | en |
Appears in Collections: | Economics publications |
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