Artikel
Nonparametric regression estimation for multivariate null recurrent processes
This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations for a ß-null recurrent process and the limiting distribution (with proper normalization) is normal. Furthermore, we show that the two-step estimator for the volatility function is consistent. The finite sample performance of the estimate is quite reasonable when the leave-one-out cross validation method is used for bandwidth selection. We apply the proposed method to study the relationship of Federal funds rate with 3-month and 5-year T-bill rates and discover the existence of nonlinearity of the relationship. Furthermore, the in-sample and out-of-sample performance of the nonparametric model is far better than the linear model.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 2 ; Pages: 265-288 ; Basel: MDPI
- Classification
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Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Interest Rates: Determination, Term Structure, and Effects
- Subject
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ß-null recurrent
cointegration
conditional heteroscedasticity
Markov chain
nonparametric regression
- Event
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Geistige Schöpfung
- (who)
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Cai, Biqing
Tjøstheim, Dag
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2015
- DOI
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doi:10.3390/econometrics3020265
- Handle
- Last update
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10.03.2025, 11:42 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
- Artikel
Associated
- Cai, Biqing
- Tjøstheim, Dag
- MDPI
Time of origin
- 2015
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