SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES Academic Article

abstract

• AbstractCai, Li, and Park (Journal of Econometrics, 2009) and Xiao (Journal of Econometrics, 2009) developed asymptotic theories for estimators of semiparametric varying coefficient models when regressors are integrated processes but the smooth coefficients are functionals of stationary processes. Using a recent result from Phillips (Econometric Theory, 2009), we extend this line of research by allowing for both the regressors and the covariates entering the smooth functionals to be integrated variables. We derive the asymptotic distribution for the proposed semiparametric estimator. An empirical application is presented to examine the purchasing power parity hypothesis between U.S. and Canadian dollars.

authors

• Li, Qi

published proceedings

• ECONOMETRIC THEORY

author list (cited authors)

• Sun, Y., Cai, Z., & Li, Q. i.

citation count

• 20

complete list of authors

• Sun, Yiguo||Cai, Zongwu||Li, Qi

publication date

• June 2013

publisher

• Cambridge University Press (CUP)  Publisher

published in

• ECONOMETRIC THEORY  Journal

keywords

• 38 Economics
• 3802 Econometrics
• 49 Mathematical Sciences
• 4905 Statistics

Digital Object Identifier (DOI)

• 10.1017/S0266466612000710

start page

• 659

end page

• 672

volume

• 29

issue

• 3

URL

• http://dx.doi.org/10.1017/s0266466612000710