NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION

DOI10.1017/S0266466611000648zbMath1239.62110OpenAlexW3123555891MaRDI QIDQ2890702

Xiaoxia Shi, Peter C. B. Phillips

Publication date: 11 June 2012

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

Full work available at URL: https://doi.org/10.1017/s0266466611000648

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05) General nonlinear regression (62J02)

Related Items (9)

ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES ⋮ Testing linearity using power transforms of regressors ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Model checks for nonlinear cointegrating regression ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives ⋮ Nonlinear regressions with nonstationary time series ⋮ NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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