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ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION

Published online by Cambridge University Press:  01 June 2009

Qiying Wang  and
Peter C.B. Phillips
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Abstract

Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated and fractionally integrated time series. The main result provides a convenient basis for developing a limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, providing an alternative approach to the Markov chain and Fourier integral methods that have been used in other recent work on these problems.

Type
Research Article
Information
Econometric Theory , Volume 25 , Issue 3 , June 2009 , pp. 710 - 738
Copyright
Copyright © Cambridge University Press 2009

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Footnotes

The authors thank the co-editor and two referees for helpful comments on the original version. Wang acknowledges partial research support from the Australian Research Council. Phillips acknowledges partial research support from a Kelly Fellowship and the NSF under grant, SES 04-142254 and SES 06-47086. Wang can be contacted at [email protected].

References

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