Nonlinear Regressions with Integrated Time Series

DOI10.1111/1468-0262.00180zbMath0999.62050OpenAlexW2145912755MaRDI QIDQ4531000

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d11/d1190.pdf

zbMATH Keywords

local time integrated process occupation density functionals of Brownian motion mixed normal limit theory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) General nonlinear regression (62J02)

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