Nonparametric regression with nearly integrated regressors under long-run dependence
长期依赖下含近单位根解释变量的非参数回归
We study the nonparametric estimation of a regression function with nonstationary (integrated or nearly integrated) covariates and the error series of the regressor process following a fractional integrated autoregressive moving average model. A local linear estimation method is developed to estimate the unknown regression function. The asymptotic results of the resulting estimator at both interior points and boundaries are obtained. The asymptotic distribution is mixed…