REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS

DOI10.1017/S0266466607070260zbMath1237.62085OpenAlexW2155716532MaRDI QIDQ2886960

Peter C. B. Phillips

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070260

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Multivariate analysis (62H99) Central limit and other weak theorems (60F05) General nonlinear regression (62J02)

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Cites Work

• Asymptotic theory of nonlinear least squares estimation
• Asymptotics for linear processes
• Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
• Strong approximation for long memory processes with applications
• Log-periodogram regression of time series with long range dependence
• Second-order regular variation and rates of convergence in extreme-value theory
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series

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