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).

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Description/Abstract

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)
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Organisations: Economics
ePrint ID: 300512
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Date Event
September 2011Published
Date Deposited: 22 Feb 2012 14:36
Last Modified: 17 Apr 2017 17:30
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/300512

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