SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY

DOI10.1017/S0266466617000238zbMath1393.62037OpenAlexW2622511854MaRDI QIDQ4569583

Chaohua Dong, J. T. Gao

Publication date: 26 June 2018

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

Full work available at URL: https://doi.org/10.1017/s0266466617000238

zbMATH Keywords

endogeneityorthogonal seriesnonstationarityregression functionnonlinear cointegration

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (9)

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 ⋮ Binary response models for heterogeneous panel data with interactive fixed effects ⋮ Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates ⋮ A weighted sieve estimator for nonparametric time series models with nonstationary variables ⋮ Estimation for double-nonlinear cointegration ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice ⋮ LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION

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