Template-type: ReDIF-Paper 1.0
Author-Name: James A. Duffy
Author-Workplace-Name:Institute for New Economic Thinking, Oxford Martin School, and Economics Department, University of Oxford
Author-Email: james.duffy@economics.ox.ac.uk
Title: Uniform Convergence Rates over Maximal Domains in Structural Nonparametric Cointegrating Regression
Abstract: This paper presents uniform convergence rates for kernel regression estimators, in the setting
of a structural nonlinear cointegrating regression model. We generalise the existing literature
in three ways. First, the domain to which these rates apply is much wider than has been
previously considered, and can be chosen so as to contain as large a fraction of the sample as
desired in the limit. Second, our results allow the regression disturbance to be serially correlated,
and cross-correlated with the regressor; previous work on this problem (of obtaining
uniform rates) having been confined entirely to the setting of an exogenous regressor. Third,
we permit the bandwidth to be data-dependent, requiring only that it satisfy certain weak
asymptotic shrinkage conditions. Our assumptions on the regressor process are consistent
with a very broad range of departures from the standard unit root autoregressive model, allowing
the regressor to be fractionally integrated, and to have an infinite variance (and even
infinite lower-order moments).
X-Classification-JEL: 
X-Keywords: 
Length: 39 pages
Creation-Date: 2015-05-05
Number: 2015-W03
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2015/duffy-uniform-rates.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1503