Phillips, Peter C.B.; Li, Degui; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013
. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n … application is given to examine time varying empirical relationships involving consumption, disposable income, investment and real …