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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).

Record type: Monograph (Working Paper)

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

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Published date: September 2011
Organisations: Economics

Identifiers

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: 18 Jul 2017 06:14

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Contributors

Author: Jean-Yves Pitarakis
Author: Anurag Banerjee

University divisions

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