Piecewise local linear estimation of functional equilibrium relationships

Pitarakis, Jean-Yves and Banerjee, Anurag (2011) Piecewise local linear estimation of functional equilibrium relationships. Southampton, GB, University of Southampton, 19pp. (Discussion Papers in Economics and Econometrics, 1109 1109).


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We introduce a new nonparametric approach for estimating a simple varying coeffcient model with a unit root nonstationarity. Our method is based on a piecewise local least squares principle and is computationally simple to implement. We establish its asymptotic properties and evaluate its performance in finite samples. Our working model also allows us to formalise the concept of a long run functional equilibrium relationship analogous to the well known cointegration concept within a constant coefficient setting

Item Type: Monograph (Working Paper)
Related URLs:
Subjects: A General Works > AC Collections. Series. Collected works
Divisions : Faculty of Social and Human Sciences > Social Sciences > Economics
ePrint ID: 300512
Accepted Date and Publication Date:
September 2011Made publicly available
Date Deposited: 22 Feb 2012 14:36
Last Modified: 31 Mar 2016 14:23
URI: http://eprints.soton.ac.uk/id/eprint/300512

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