Download or read book Functional Coefficient Models for Nearly (Possibly Weakly) I (1) Processes written by Mirza Trokic and published by . This book was released on 2014 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this article is on nonlinear time varying coefficient models when the covariates and coefficient components are weakly, nearly, or possibly purely integrated time series processes. Local linear fitting is used to derive coefficient estimators along with their asymptotic distributions. The rates of convergence for the estimators is shown to differ based on whether stationary, weakly, nearly, or purely integrated covariates are being modelled. Similar conclusions also hold for the derived optimal bandwidth parameters.