CFDP 2111

Author(s): Qiying WangPeter C. B. PhillipsIoannis Kasparis

Publication Date: September 2017

Pages: 28

Keywords: 

Cointegrating regression, Kernel regression, Latent variable, Local time, Misspecification, Nonlinear nonparametric nonstationary regression

JEL Classification Codes: C23

JEL Classification Codes: C23