Nonlinear Econometric Models with Deterministically Trending Variables

DOI10.2307/2298032MaRDI QIDQ4860679zbMATH OpenOpenAlexFDO

Authors Donald W. K. Andrews, C. John McDermott

Publication date 13 February 1996

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d10/d1053.pdf

zbMATH Keywords

asymptotic approximationsasymptotic covariance matricesdeterministically trending variablesgeneralized method of moments estimatorsnon-trending variablesnonlinear models

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) General nonlinear regression (62J02) Applications of statistics to economics (62P20)

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Cited in

(22)

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• Asymptotic theory for regressions with smoothly changing parameters
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• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• LIMITED TIME SERIES WITH A UNIT ROOT
• A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
• Robust estimation and inference for threshold models with integrated regressors
• Tests for nonlinear cointegration
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• Modelling Nonlinear Economic Time Series
• Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends
• Inference on a semiparametric model with global power law and local nonparametric trends
• Segmenting mean-nonstationary time series via trending regressions
• Functional coefficient regression models with time trend
• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
• Functional coefficient time series models with trending regressors
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data
• Non-stationary structural model with time-varying demand elasticities

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