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SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES

Published online by Cambridge University Press:  08 January 2013

Yiguo Sun ,
Zongwu Cai  and
Qi Li
Yiguo Sun
Affiliation:
University of Guelph
Zongwu Cai
Affiliation:
University of North Carolina at Charlotte
Qi Li*
Affiliation:
Texas A&M University and Capital University of Economics and Business
*
*Address correspondence to Qi Li, Dept. of Economics, Texas A&M University, College Station, TX 77843-4228, USA; e-mail: qi@econmail.tamu.edu.
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Abstract

Cai, Li, and Park (Journal of Econometrics, 2009) and Xiao (Journal of Econometrics, 2009) developed asymptotic theories for estimators of semiparametric varying coefficient models when regressors are integrated processes but the smooth coefficients are functionals of stationary processes. Using a recent result from Phillips (Econometric Theory, 2009), we extend this line of research by allowing for both the regressors and the covariates entering the smooth functionals to be integrated variables. We derive the asymptotic distribution for the proposed semiparametric estimator. An empirical application is presented to examine the purchasing power parity hypothesis between U.S. and Canadian dollars.

Type
Miscellanea
Information
Econometric Theory , Volume 29 , Issue 3 , June 2013 , pp. 659 - 672
Copyright
Copyright © Cambridge University Press 2012 

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References

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