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)|
|Subjects:||A General Works > AC Collections. Series. Collected works|
|Divisions:||Faculty of Social and Human Sciences > Social Sciences > Economics
|Date Deposited:||22 Feb 2012 14:36|
|Last Modified:||23 Feb 2012 10:07|
|Publisher:||University of Southampton|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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