NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY

DOI10.1017/S0266466620000560zbMath1493.62607OpenAlexW3125175659MaRDI QIDQ5024498

Zhishui Hu, Peter C. B. Phillips, Qiying Wang

Publication date: 26 January 2022

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

Full work available at URL: https://doi.org/10.1017/s0266466620000560

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Nonparametric inference for quantile cointegrations with stationary covariates

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing linearity using power transforms of regressors
• Partial parametric estimation for nonstationary nonlinear regressions
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Asymptotics for linear processes
• Index models with integrated time series
• Weak convergence and empirical processes. With applications to statistics
• Nonlinear regressions with nonstationary time series
• Semiparametric estimation in triangular system equations with nonstationarity
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
• NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION
• WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Structural Nonparametric Cointegrating Regression
• Limit Theorems for Nonlinear Cointegrating Regression
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• Nonstationary Binary Choice
• Nonlinear Regressions with Integrated Time Series
• WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS
• NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
• CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

This page was built for publication: NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY