Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity
38 Pages Posted: 25 Sep 2015
Date Written: September 24, 2015
Abstract
This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo simulation results show that the performance of the proposed estimate is numerically satisfactory.
Keywords: Cointegration, endogeneity, Hermite functions, series estimator, unit root
JEL Classification: C14; C22; G17
Suggested Citation: Suggested Citation
Cai, Biqing and Dong, Chaohua and Gao, Jiti, Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity (September 24, 2015). Available at SSRN: https://ssrn.com/abstract=2665110 or http://dx.doi.org/10.2139/ssrn.2665110
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