Piecewise local linear estimation of functional equilibrium
relationships
Piecewise local linear estimation of functional equilibrium
relationships
We introduce a new nonparametric approach for estimating a simple varying coefficient 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.
University of Southampton
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Banerjee, Anurag
a856f24f-73b1-4730-aafe-bbb05fef4d81
September 2011
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Banerjee, Anurag
a856f24f-73b1-4730-aafe-bbb05fef4d81
Pitarakis, Jean-Yves and Banerjee, Anurag
(2011)
Piecewise local linear estimation of functional equilibrium
relationships
(Discussion Papers in Economics and Econometrics, 1109)
Southampton, GB.
University of Southampton
19pp.
Record type:
Monograph
(Working Paper)
Abstract
We introduce a new nonparametric approach for estimating a simple varying coefficient 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.
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Published date: September 2011
Organisations:
Economics
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Local EPrints ID: 300512
URI: http://eprints.soton.ac.uk/id/eprint/300512
PURE UUID: 130c0909-7211-41e5-b6af-2b4ee5180e84
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Date deposited: 22 Feb 2012 14:36
Last modified: 11 Dec 2021 03:52
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Author:
Anurag Banerjee
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