Model checks for nonlinear cointegrating regression

DOI10.1016/j.jeconom.2018.08.002zbMath1452.62685OpenAlexW2888722683MaRDI QIDQ1739588

Ke Zhu, Qiying Wang, Dong Sheng Wu

Publication date: 26 April 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.08.002

zbMATH Keywords

weak convergencecointegrationnonlinear regressionspecification testingmarked empirical processmodel check

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Non-Markovian processes: hypothesis testing (62M07)

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Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Multidimensional specification test based on non-stationary time series ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ Robust nonlinear regression estimation in null recurrent time series ⋮ Estimation for double-nonlinear cointegration

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