Estimation in semi-parametric regression with non-stationary regressors

Jia Chen, Jiti Gao, Degui Li

In this paper, we consider a partially linear model of the form $Y_t=X_t^{\tau }{\theta }_0+g(V_t)+{\epsilon }_t$, $t=1,...,n$, where $\{V_t\}$ is a $\beta$ null recurrent Markov chain, $\{X_t\}$ is a sequenc…