Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79547
Authors: 
Linton, Oliver
Wang, Qiying
Year of Publication: 
2013
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP16/13
Abstract: 
We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.
Subjects: 
Dependence
Efficiency
Cointegration
Non-stationarity
Non-parametric estimation
JEL: 
C14
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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