SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES
扩展了半参数变系数模型的理论，允许回归变量和光滑函数中的协变量均为积分过程，推导了估计量的渐近分布，并应用于检验美元与加元间的购买力平价假说。
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.