Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7349410 | Economics Letters | 2018 | 4 Pages |
Abstract
We propose a new nonparametric estimator for continuous-time regression models with nonstationary error terms. While other conventional nonparametric estimators such as the Nadaraya-Watson and local linear estimators are not consistent, our estimator achieves consistency and asymptotic normality.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Minsoo Jeong,