ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
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Publication:4653564
DOI10.1017/S0266466604203085zbMath1060.62100MaRDI QIDQ4653564
Publication date: 7 March 2005
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (15)
FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT ⋮ ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION ⋮ NEGATIVE POWERS OF INTEGRATED PROCESSES ⋮ Long-memory property of nonlinear transformations of break processes ⋮ Exponential functionals of integrated processes ⋮ OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION ⋮ CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES ⋮ Summability of stochastic processes -- a generalization of integration for non-linear processes ⋮ The Bierens test for certain nonstationary models ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS ⋮ THE SUM OF THE RECIPROCAL OF THE RANDOM WALK ⋮ DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS ⋮ LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION ⋮ Nonparametric predictive regression ⋮ Time-varying cointegration and the Kalman filter
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