Nonlinear instrumental variable estimation of an autoregression.

DOI10.1016/S0304-4076(03)00141-6zbMath1033.62085MaRDI QIDQ1421319

Peter C. B. Phillips, Yoosoon Chang, Joon Y. Park

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

tablesUnit rootCauchy estimatorSojourn timeInstrumental variable autoregressionNonlinear instruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (15)

Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ Performance of nonlinear instrumental variable unit root tests using recursive detrending methods ⋮ Properties of recursive trend-adjusted unit root tests ⋮ Testing seasonal mean-reversion in the real exchange rates: an application of nonlinear IV estimator ⋮ Nonlinear regression for unit root models with autoregressive errors ⋮ Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures ⋮ Volatility regressions with fat tails ⋮ A small sample confidence interval for autoregressive parameters ⋮ Taking a new contour: a novel approach to panel unit root tests ⋮ IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE ⋮ Recursive demeaning and deterministic seasonality ⋮ ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS ⋮ Nonstationary nonlinear quantile regression ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models

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