NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS
含非线性非平稳异方差误差的非参数协整回归
This paper studies a nonlinear cointegrating regression model with nonlinear nonstationary heteroskedastic error processes. We establish uniform consistency for the conventional kernel estimate of the unknown regression function and develop atwo-stage approach for the estimation of the heterogeneity generating function.