Functional-coefficient cointegration models in the presence of deterministic trends
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DOI: 10.1080/07474938.2015.1092845
Abstract: ABSTRACT In this article, we extend the functional-coefficient cointegration model (FCCM) to the cases in which nonstationary regressors contain both stochastic and deterministic trends. A nondegenerate distributional theory on the local linear (LL) regression smoother… read more here.
Keywords: deterministic trends; cointegration models; functional coefficient; models presence ... See more keywords