Arbeitspapier
Additive nonparametric models with time variable and both stationary and nonstationary regressions
This paper considers nonparametric additive models that have a deterministic time trend and both stationary and integrated variables as components. The diverse nature of the regressors caters for applications in a variety of settings. In addition, we extend the analysis to allow the stationary regressor to be instead locally stationary, and we allow the models to include a linear form of the integrated variable. Heteroscedasticity is allowed for in all models. We propose an estimation strategy based on orthogonal series expansion that takes account of the different type of stationarity/nonstationarity possessed by each covariate. We establish pointwise asymptotic distribution theory jointly for all estimators of unknown functions and also show the conventional optimal convergence rates jointly in the L2 sense. In spite of the entanglement of different kinds of regressors, we can separate out the distribution theory for each estimator. We provide Monte Carlo simulations that establish the favourable properties of our procedures in moderate sized samples. Finally, we apply our techniques to the study of a pairs trading strategy.
- Language
-
Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP59/17
- Classification
-
Wirtschaft
Estimation: General
Information and Market Efficiency; Event Studies; Insider Trading
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
-
Additive nonparametric models
deterministic trend
pairs trading
seriesestimator
stationary and locally stationary processes
unit root process
- Event
-
Geistige Schöpfung
- (who)
-
Dong, Chaohua
Linton, Oliver
- Event
-
Veröffentlichung
- (who)
-
Centre for Microdata Methods and Practice (cemmap)
- (where)
-
London
- (when)
-
2017
- DOI
-
doi:10.1920/wp.cem.2017.5917
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dong, Chaohua
- Linton, Oliver
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2017
Other Objects (12)
Nonparametric rank tests for non-stationary panels
Non-parametric transformation regression with non-stationary data
A non-stationary approach for financial returns with nonparametric heteroscedasticity
A non-stationary approach for financial returns with nonparametric heteroscedasticity
Nonparametric nonstationary regression
Non-stationary Wave Turbulence
Non-stationary product sound and vibration quality
Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity
The dynamics of multivariate financial returns : a non-stationary, nonparametric regression approach
Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns
Learning in non-stationary Environments
Non-stationary optical homodyne tomography
Nonparametric rank tests for non-stationary panels
Non-parametric transformation regression with non-stationary data
A non-stationary approach for financial returns with nonparametric heteroscedasticity
A non-stationary approach for financial returns with nonparametric heteroscedasticity
Nonparametric nonstationary regression
Non-stationary Wave Turbulence
Non-stationary product sound and vibration quality
Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity
The dynamics of multivariate financial returns : a non-stationary, nonparametric regression approach
Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns
Learning in non-stationary Environments
Non-stationary optical homodyne tomography
Nonparametric rank tests for non-stationary panels
Non-parametric transformation regression with non-stationary data
A non-stationary approach for financial returns with nonparametric heteroscedasticity
A non-stationary approach for financial returns with nonparametric heteroscedasticity
Nonparametric nonstationary regression
Non-stationary Wave Turbulence
Non-stationary product sound and vibration quality
Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity
The dynamics of multivariate financial returns : a non-stationary, nonparametric regression approach
Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns
Learning in non-stationary Environments