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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Local Linear Estimation of Nonparametric Cointegrating Regression

Vol.21, No.1, March , 23–42



  •   (Sungkyunkwan University)

  •   (Sungkyunkwan University)

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Abstract  

Nonparametric estimation of a nonlinear cointegrating regression model is studied. This paper offers the asymptotic theory of the local linear estimator for a nonlinear cointegrating regression model. It is shown that the local linear estimator has the same asymptotic distribution as the Nadaraya-Watson estimator in a nonparametric cointegrating regression, and the asymptotic orders for the biases of the two nonparametric estimators will be provided. Monte Carlo simulation shows that the finite sample performances of the local linear estimator outperform those of Nadaraya-Watson estimator.


Keywords
   Local Time, Cointegration, Nonparametric Regression, Nadaraya-Watson Estimation, Local Linear Estimation

JEL classification codes
   C14, C22
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