Functional-coefficient cointegration models in the presence of deterministic trends
将函数系数协整模型扩展到非平稳回归变量同时包含随机和确定性趋势的情形，推导了局部线性回归平滑器的极限分布，并通过蒙特卡洛模拟和伊利诺伊州电力需求分析验证了模型性能。
In this article, we extend the functional-coefficient cointegration model (FCCM) to the cases in which nonstationary regressors contain both stochastic and deterministic trends. A nondegenerate distributional theory on the local linear (LL) regression smoother of the FCCM is explored. It is demonstrated that even when integrated regressors are endogenous, the limiting distribution is the same as if they were exogenous. Finite-sample performance of the LL estimator is investigated via Monte Carlo simulations in comparison with an alternative estimation method. As an application of the FCCM, electricity demand analysis in Illinois is considered.