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Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.10.007
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…
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Keywords:
estimator nonparametric;
consistent estimator;
regression;
estimator ... See more keywords