Endogeneity in nonlinear regressions with integrated time series

DOI10.1080/07474938.2011.520567zbMATH Open1209.62149OpenAlexW2068540432MaRDI QIDQ3086359FDOQ3086359

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

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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)

Cites Work

• Nonlinear Regressions with Integrated Time Series
• Title not available (Why is that?)
• Index models 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)

• Title not available (Why is that?)
• Nonlinear cointegrating regression under weak identification
• ENDOGENOUS CROSS CORRELATIONS
• A note on nonlinear cointegration, misspecification, and bimodality
• Nonlinear regressions with nonstationary time series
• 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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