Local Linear Estimation of a Nonparametric Cointegration Model

Econometric Reviews

Volumn 34, Issue 6-10, 2015, Pages 882-906

  Liang, Zhongwen ^a   Lin, Zhongjian ^b   Hsiao, Cheng ^c,d,e  

^a STATE UNIVERSITY OF NEW YORK   (United States)

^b EMORY UNIVERSITY   (United States)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^d CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^e XIAMEN UNIVERSITY   (China)

Author keywords

Bandwidth selection; Cross validation; Local linear; Nonlinear cointegration

Indexed keywords

EID: 84938486766     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474938.2014.956610     Document Type: Article

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