NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
研究了非线性协整回归模型中非参数估计、推断和设定检验，允许误差序列相关、解释变量内生且由长记忆创新驱动，证明了核估计的一致性和渐近正态性，并提供了参数估计一致性和设定检验的新结果。
This paper explores nonparametric estimation, inference, and specification testing in a nonlinear cointegrating regression model where the structural equation errors are serially dependent and where the regressor is endogenous and may be driven by long memory innovations. Generalizing earlier results of Wang and Phillips (2009a,b, Econometric Theory 25, 710–738, Econometrica 77, 1901–1948), the conventional nonparametric local level kernel estimator is shown to be consistent and asymptotically (mixed) normal in these cases, thereby opening up inference by conventional nonparametric methods to a wide class of potentially nonlinear cointegrated relations. New results on the consistency of parametric estimates in nonlinear cointegrating regressions are provided, extending earlier research on parametric nonlinear regression and providing primitive conditions for parametric model testing. A model specification test is studied and confirmed to provide a valid mechanism for testing parametric specifications that is robust to endogeneity. But under long memory innovations the test is not pivotal, its convergence rate is parameter dependent, and its limit theory involves the local time of fractional Brownian motion. Simulation results show good performance for the nonparametric kernel estimates in cases of strong endogeneity and long memory, whereas the specification test is shown to be sensitive to the presence of long memory innovations, as predicted by asymptotic theory.