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We propose a new nonparametric estimator for continuous-time regression models with nonstationary error terms. While other conventional nonparametric estimators such as the Nadaraya–Watson and local linear estimators are not consistent,… Click to show full abstract
We propose a new nonparametric estimator for continuous-time regression models with nonstationary error terms. While other conventional nonparametric estimators such as the Nadaraya–Watson and local linear estimators are not consistent, our estimator achieves consistency and asymptotic normality.
Keywords:
estimator nonparametric;
consistent estimator;
regression;
estimator;
structural spurious;
nonparametric structural
Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!