Endogeneity in nonlinear regressions with integrated time series

DOI10.1080/07474938.2011.520567MaRDI QIDQ3086359zbMATH OpenOpenAlexFDO

Authors Yoosoon Chang, Joon Y. Park

Publication date 30 March 2011

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2022/14128

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 818203 (Why is no real title available?)
• Index models with integrated time series
• Nonlinear Regressions with Integrated Time Series
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Nonstationary Binary Choice
• On the character of convergence to Brownian local time. II

Cited in

(14)

• scientific article; zbMATH DE number 5245018 (Why is no real title available?)
• Nonlinear cointegrating regression under weak identification
• ENDOGENOUS CROSS CORRELATIONS
• Nonlinear regressions with nonstationary time series
• A note on nonlinear cointegration, misspecification, and bimodality
• Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
• Partial parametric estimation for nonstationary nonlinear regressions
• Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
• Nonlinearity induced weak instrumentation
• Nonlinear cointegrating power function regression with endogeneity
• Nonparametric inference for quantile cointegrations with stationary covariates
• Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
• Nonlinear Regressions with Integrated Time Series
• Varying coefficient partially nonlinear models with nonstationary regressors

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