Nonlinear regression for unit root models with autoregressive errors

DOI10.1016/J.ECONLET.2008.02.021MaRDI QIDQ1934876zbMATH OpenOpenAlexFDO

Authors Chang Sik Kim, In-Moo Kim

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2008.02.021

zbMATH Keywords

nonlinear least squaresaugmented Dickey-Fuller test

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• PARTIALLY LINEAR MODELS WITH UNIT ROOTS
• Functional form misspecification in regressions with a unit root
• scientific article; zbMATH DE number 6441661
• Testing for a unit root in time series regression
• Functional‐coefficient models under unit root behaviour

Cites work

• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Nonlinear instrumental variable estimation of an autoregression.
• Nonstationary Binary Choice
• Testing for unit roots in autoregressive-moving average models of unknown order
• Unit Roots, Cointegration, and Structural Change

Cited in

(9)

• Nonparametric transformation to white noise
• Nonlinear instrumental variable estimation of an autoregression.
• A note on nonlinear regression for the autoregressive moving average with non-hd errors
• Functional‐coefficient models under unit root behaviour
• How do nonlinear unit root tests perform with non normal errors?
• PARTIALLY LINEAR MODELS WITH UNIT ROOTS
• Functional form misspecification in regressions with a unit root
• Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data
• scientific article; zbMATH DE number 952098 (Why is no real title available?)

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