Robust estimation in a nonlinear cointegration model
نویسندگان
چکیده
منابع مشابه
Robust estimation in a nonlinear cointegration model
——————————————————————————————————– Abstract This paper considers the nonparametric M–estimator in a nonlinear cointegration type model. The local time density argument, which was developed by Phillips and Park (1998) and Wang and Phillips (2009a), is applied to establish the asymptotic theory for the nonparametric M–estimator. The weak consistency and the asymptotic distribution of the propose...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2010
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2009.09.004