Nonparametric estimation in a nonlinear cointegration type model

Annals of Statistics

Volumn 35, Issue 1, 2007, Pages 252-299

  Karlsen, Hans Arnfinn ^a   Myklebust, Terje ^b   Tjøstheim, Dag ^a  

^a UNIVERSITY OF BERGEN   (Norway)

^b Fjordane University College   (Norway)

Author keywords

Cointegration; Nonparametric kernel estimators; Nonstationary time series models; Null recurrent Markov chain; Transfer function model

Indexed keywords

EID: 49449090673     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053606000001181     Document Type: Article

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