Nonparametric Estimators in Long-horizon regressions with nonstationary covariates
نویسنده
چکیده
We consider predictability in long-horizon regression models with nonstationary predictors. The predictability is represented as the limiting form of the sum of covariances between long-horizon regressand and ...rst di¤erences of integrated covariates. Kernel-based nonparametric estimator for predictability is considered. Asymptotic mean squared errors and normality of the estimator are presented. It is found that as the horizon grows to longer horizons, convergence rate of the estimators becomes slower than that in the case of shorthorizon model. Our results provide extensions of short-horizon inferences in Maynard and Shimotsu (2008) to long-horizon regressions.
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