NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY

DOI10.1017/S0266466614000917zbMath1442.62758OpenAlexW2130075997MaRDI QIDQ2801991

Peter C. B. Phillips, Qiying Wang

Publication date: 22 April 2016

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

Full work available at URL: https://doi.org/10.1017/s0266466614000917

Mathematics Subject Classification ID

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

Related Items

Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Estimating smooth structural change in cointegration models ⋮ Adaptive estimation for varying coefficient models with nonstationary covariates ⋮ Specification testing for nonlinear multivariate cointegrating regressions ⋮ SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY ⋮ Nonparametric inference for quantile cointegrations with stationary covariates ⋮ WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS ⋮ Endogeneity in semiparametric threshold regression models with two threshold variables ⋮ Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates ⋮ OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION ⋮ Threshold regression with endogeneity ⋮ UNIFORM CONVERGENCE RATES OVER MAXIMAL DOMAINS IN STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION ⋮ NONPARAMETRIC IDENTIFICATION USING INSTRUMENTAL VARIABLES: SUFFICIENT CONDITIONS FOR COMPLETENESS ⋮ Varying coefficient partially nonlinear models with nonstationary regressors ⋮ A weighted sieve estimator for nonparametric time series models with nonstationary variables ⋮ Estimation for double-nonlinear cointegration ⋮ LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION ⋮ NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY ⋮ LEAST SQUARES ESTIMATION FOR NONLINEAR REGRESSION MODELS WITH HETEROSCEDASTICITY ⋮ A uniform law for convergence to the local times of linear fractional stable motions

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