Dynamic misspecification in nonparametric cointegrating regression

DOI10.1016/j.jeconom.2012.01.037zbMath1443.62270OpenAlexW3123551069MaRDI QIDQ527941

Ioannis Kasparis, Peter C. B. Phillips

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1975

zbMATH Keywords

local timenonparametric regressionintegrated processmisspecificationintegrable functionnonlinear cointegrationfunctional regressiondynamic misspecificationlinearity testmixed normality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

Estimating smooth structural change in cointegration models ⋮ Specification testing for nonlinear multivariate cointegrating regressions ⋮ Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ Functional cointegration: definition and nonparametric estimation ⋮ A specification test for nonlinear nonstationary models ⋮ Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression ⋮ Estimation for double-nonlinear cointegration ⋮ SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES ⋮ LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION ⋮ Nonparametric predictive regression ⋮ A uniform law for convergence to the local times of linear fractional stable motions ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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