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Identifier to cite or link to this item: https://hdl.handle.net/10086/19400

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Title
Nonparametric LAD Cointegrating Regression
Creator
Creator Name
Honda, Toshio Honda, Toshio
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Nonlinear cointegration
Integrated process
Local time
Least absolute deviation
Local polynomial regression
Bias
Abstract
We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and dependent variable can be ntemporaneously correlated. The asymptotic properties of the Nadaraya-Watson estimator are already examined in the literature. In this paper, we consider nonparametric least absolute deviation (LAD) regression and derive the asymptotic distributions of the local constant and local linear estimators by appealing to the local time approach.
Description
40817
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2011-10
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 207
Number of Pages
17
Sponsorship
グローバルCOEプログラム = Global COE Program
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/19400