Abstract
We study a varying coefficient partially nonlinear model in which the regressors are generated by the multivariate unit root processes. A profile nonlinear least squares estimation procedure is applied to estimate the parameter vector and the functional coefficients. Under some mild conditions, the asymptotic distribution theory for the resulting estimators is established. The rate of convergence for the parameter vector estimator depends on the properties of the nonlinear regression function. However, the rate of convergence for the functional coefficients estimator is the same and enjoys the super-consistency property. Furthermore, a simulation study is conducted to investigate the finite sample performance of the proposed estimating procedures.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
