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Kernel-based inference in time-varying coefficient models with multiple integrated regressors

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posted on 2022-11-09, 02:43 authored by Degui Li, Peter CB Phillips, Jiti Gao

This paper studies nonlinear cointegrating models with time-varying coecients and multiple nonstationary

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--

Creation date

2017-08-24

Working Paper Series Number

11/17

Length

60

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application/pdf

Handle

RePEc:msh:ebswps:2017-11

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Keywords

cointegration FM-kernel estimation generalized Wald test global rotation kernel degeneracy local rotation super-consistency time-varying coecients.

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