Nonlinear cointegrating regression under weak identification
DOI10.1017/S0266466611000648zbMATH Open1239.62110OpenAlexW3123555891MaRDI QIDQ2890702FDOQ2890702
Authors: Xiaoxia Shi, Peter C. B. Phillips 
Publication date: 11 June 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466611000648
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General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05)
Cites Work
- Weak convergence and empirical processes. With applications to statistics
- Title not available (Why is that?)
- GMM with Weak Identification
- Cube root asymptotics
- Weak limit theorems for stochastic integrals and stochastic differential equations
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- Nonlinear Regressions with Integrated Time Series
- Inference for parameters defined by moment inequalities using generalized moment selection
- Unit root and cointegrating limit theory when initialization is in the infinite past
- Nonlinearity, nonstationarity, and spurious forecasts
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Aggregation of space-time processes.
- Endogeneity in nonlinear regressions with integrated time series
Cited In (13)
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
- Nonlinear regressions with nonstationary time series
- Model checks for nonlinear cointegrating regression
- Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
- Nonlinear cointegrating power function regression with endogeneity
- Robust inference in nonlinear models with mixed identification strength
- Nonlinear minimization estimators in the presence of cointegrating relations.
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Testing linearity using power transforms of regressors
- Identification robust inference in cointegrating regressions
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
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