کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146309 957503 2010 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust estimation in a nonlinear cointegration model
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Robust estimation in a nonlinear cointegration model
چکیده انگلیسی

This paper considers the nonparametric MM-estimator in a nonlinear cointegration type model. The local time density argument, which was developed by Phillips and Park (1998) [6] and Wang and Phillips (2009) [9], is applied to establish the asymptotic theory for the nonparametric MM-estimator. The weak consistency and the asymptotic distribution of the proposed estimator are established under mild conditions. Meanwhile, the asymptotic distribution of the local least squares estimator and the local least absolute distance estimator can be obtained as applications of our main results. Furthermore, an iterated procedure for obtaining the nonparametric MM-estimator and a cross-validation bandwidth selection method are discussed, and some numerical examples are provided to show that the proposed methods perform well in the finite sample case.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 101, Issue 3, March 2010, Pages 706–717
نویسندگان
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