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Semiparametric Functional Coefficient Models With Integrated Covariates

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  • Sun, Yiguo
  • Cai, Zongwu
  • Li, Qi

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.

Suggested Citation

  • Sun, Yiguo & Cai, Zongwu & Li, Qi, 2013. "Semiparametric Functional Coefficient Models With Integrated Covariates," Econometric Theory, Cambridge University Press, vol. 29(3), pages 659-672, June.
    • Handle: RePEc:cup:etheor:v:29:y:2013:i:03:p:659-672_00
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    Cited by:

    1. Casas Villalba, Maria Isabel, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Qiying Wang & Peter C. B. Phillips & Ying Wang, 2023. "New asymptotics applied to functional coefficient regression and climate sensitivity analysis," Cowles Foundation Discussion Papers 2365, Cowles Foundation for Research in Economics, Yale University.
    3. Čížek, Pavel & Koo, Chao Hui, 2021. "Jump-preserving varying-coefficient models for nonlinear time series," Econometrics and Statistics, Elsevier, vol. 19(C), pages 58-96.
    4. Gu, Jingping & Liang, Zhongwen, 2014. "Testing cointegration relationship in a semiparametric varying coefficient model," Journal of Econometrics, Elsevier, vol. 178(P1), pages 57-70.
    5. Ying Wang & Peter C. B. Phillips & Yundong Tu, 2024. "Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression," Cowles Foundation Discussion Papers 2399, Cowles Foundation for Research in Economics, Yale University.
    6. Tu, Yundong & Wang, Ying, 2022. "Spurious functional-coefficient regression models and robust inference with marginal integration," Journal of Econometrics, Elsevier, vol. 229(2), pages 396-421.
    7. Wei, Chuanhua & Guo, Shuang & Zhai, Shufen, 2017. "Statistical inference of partially linear varying coefficient spatial autoregressive models," Economic Modelling, Elsevier, vol. 64(C), pages 553-559.
    8. Tu, Yundong & Liang, Han-Ying & Wang, Qiying, 2022. "Nonparametric inference for quantile cointegrations with stationary covariates," Journal of Econometrics, Elsevier, vol. 230(2), pages 453-482.
    9. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Jul 2023.

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