Nonlinear cointegrating regression under weak identification

DOI10.1017/S0266466611000648MaRDI QIDQ2890702zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 51427 (Why is no real title available?)
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• Aggregation of space-time processes.
• Cube root asymptotics
• Endogeneity in nonlinear regressions with integrated time series
• GMM with Weak Identification
• Inference for parameters defined by moment inequalities using generalized moment selection
• Nonlinear Regressions with Integrated Time Series
• Nonlinearity, nonstationarity, and spurious forecasts
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Unit root and cointegrating limit theory when initialization is in the infinite past
• Weak convergence and empirical processes. With applications to statistics
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(13)

• On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
• 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
• Robust inference in nonlinear models with mixed identification strength
• Nonlinear cointegrating power function regression with endogeneity
• 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

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