Nonparametric estimation in a nonlinear cointegration type model

Hans Arnfinn Karlsen, Terje Myklebust, Dag Tjøstheim

We derive an asymptotic theory of nonparametric estimation for a time series regression model $Z_t=f(X_t)+W_t$, where \ensuremath\{X_t\} and \ensuremath\{Z_t\} are observed nonstat…