Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity
Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity
We consider nonparametric estimation of the regression function g(•) in a nonlinear regression model Yt = g(Xt) + σ(Xt)et, where the regressor (Xt) is a nonstationary unit root process and the error (et) is a sequence of independent and identically distributed (i.i.d.) random variables.With proper centering and scaling, the maximum …