Title: Functional-coefficient cointegrating regression with endogeneity
Authors: Qiying Wang - University of Sydney (Australia) [presenting]
Abstract: Nonparametric estimation of functional-coefficient cointegrating regression models is explored where the structural equation errors are serially dependent and the regressor is endogenous. Generalizing earlier works, the self-normalized local kernel and local linear estimators are shown to be asymptotic normal and to be pivotal upon an estimation of co-variances. Our new results open up inference by conventional nonparametric methods to a wide class of potentially nonlinear cointegrated relations.