Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

38 Pages Posted: 25 Sep 2015

See all articles by Biqing Cai

Biqing Cai

University of Bergen

Chaohua Dong

Zhongnan University of Economics and Law

Jiti Gao

Monash University - Department of Econometrics & Business Statistics

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

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

Biqing Cai

University of Bergen ( email )

Muséplassen 1
N-5008 Bergen, +47 55 58
Norway

Chaohua Dong

Zhongnan University of Economics and Law ( email )

182 Nanhu Avenue
Wuhan, Hubei 430073
China

Jiti Gao (Contact Author)

Monash University - Department of Econometrics & Business Statistics ( email )

900 Dandenong Road
Caulfield East, Victoria 3145
Australia
61399031675 (Phone)
61399032007 (Fax)

HOME PAGE: http://www.jitigao.com

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
53
Abstract Views
554
Rank
681,640
PlumX Metrics