Nonlinear instrumental variable estimation of an autoregression.

DOI10.1016/S0304-4076(03)00141-6MaRDI QIDQ1421319zbMATH OpenFDO

Authors Peter C. B. Phillips, Joon Y. Park, Yoosoon Chang

Publication date 26 January 2004

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

Full work available at URL https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=285766

zbMATH Keywords

Cauchy estimatorInstrumental variable autoregressionNonlinear instrumentsSojourn timetablesUnit root

Mathematics Subject Classification ID

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

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Cites work

• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
• Estimation of autoregressive roots near unity using panel data
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Statistical Inference in Instrumental Variables Regression with I(1) Processes

Cited in

(19)

• Recursive demeaning and deterministic seasonality
• Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
• Properties of recursive trend-adjusted unit root tests
• Testing seasonal mean-reversion in the real exchange rates: an application of nonlinear IV estimator
• Nonlinear regression for unit root models with autoregressive errors
• Volatility regressions with fat tails
• Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Nonnested testing for competing autoregressive dynamic models estimated by instrumental variables
• scientific article; zbMATH DE number 952098 (Why is no real title available?)
• Nonlinearity induced weak instrumentation
• IV-based cointegration testing in dependent panels with time-varying variance
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• Taking a new contour: a novel approach to panel unit root tests
• Nonstationary nonlinear quantile regression
• Robust inference for near-unit root processes with time-varying error variances
• New robust inference for predictive regressions
• A small sample confidence interval for autoregressive parameters

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