Nonparametric Regression with Common Shocks

Nonparametric Regression with Common Shocks

This paper considers a nonparametric regression model for cross-sectional data in the presence of common shocks. Common shocks are allowed to be very general in nature; they do not need to be finite dimensional with a known (small) number of factors. I investigate the properties of the Nadaraya-Wats...

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Bibliographic Details
Main Author: Eduardo A. Souza-Rodrigues
Format: Article
Language:English
Published: MDPI AG 2016-09-01
Series:Econometrics
Subjects:
nonparametric regression
common shocks
cross-sectional dependence
disintegration theory
Online Access:http://www.mdpi.com/2225-1146/4/3/36

Internet

http://www.mdpi.com/2225-1146/4/3/36

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