ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

DOI10.1017/S0266466699153015zbMATH Open0964.62092OpenAlexW2132158377MaRDI QIDQ4512689FDOQ4512689

Authors: Joon Y. Park, Peter C. B. Phillips 

Publication date: 19 July 2001

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

Full work available at URL: https://doi.org/10.1017/s0266466699153015

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zbMATH Keywords

Brownian motionadditive functionals

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Local time and additive functionals (60J55)

Cited In (94)

• Estimation for single-index and partially linear single-index integrated models
• The Bierens test for certain nonstationary models
• A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
• A note on nonlinear models with integrated regressors and convergence order results
• A specification test for nonlinear nonstationary models
• Nonlinear instrumental variable estimation of an autoregression.
• Dynamic misspecification in nonparametric cointegrating regression
• Semiparametric estimation in triangular system equations with nonstationarity
• A robust version of the KPSS test based on indicators
• A simple approach to the parametric estimation of potentially nonstationary diffusions
• Trending time-varying coefficient time series models with serially correlated errors
• Some generalizations on the algebra of I(1) processes
• Adaptive estimation of autoregressive models with time-varying variances
• Micro versus macro cointegration in heterogeneous panels
• Cumulated sum of squares statistics for nonlinear and nonstationary regressions
• IV-based cointegration testing in dependent panels with time-varying variance
• Nonstationary nonlinear heteroskedasticity in regression
• Time series properties of ARCH processes with persistent covariates
• ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
• A reexamination of stock return predictability
• Asymptotic spectral theory for nonlinear time series
• An invariant sign test for random walks based on recursive median adjustment
• Nonstationary discrete choice: a corrigendum and addendum
• Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Nonlinearity, nonstationarity, and spurious forecasts
• Asymptotics for panel models with common shocks
• Nonlinear regressions with nonstationary time series
• Functional-coefficient models for nonstationary time series data
• Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Convergence of functionals of sums of r.v.s to local times of fractional stable motions.
• CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES
• Nonparametric predictive regression
• Robust estimation in a nonlinear cointegration model
• Partial parametric estimation for nonstationary nonlinear regressions
• Residual based tests for cointegration in dependent panels
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Nonstationary nonlinear heteroskedasticity.
• Index models with integrated time series
• Nonlinearity induced weak instrumentation
• Additive nonparametric models with time variable and both stationary and nonstationary regressors
• The Dickey-Fuller test for exponential random walks
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• Bootstrapping Autoregression under Non-stationary Volatility
• Properties of nonlinear transformations of fractionally integrated processes.
• Estimation and test for quantile nonlinear cointegrating regression
• Estimating smooth structural change in cointegration models
• Long-memory property of nonlinear transformations of break processes
• Logarithmic spurious regressions
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
• Testing linearity using power transforms of regressors
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonstationary discrete choice
• Testing for a unit root against transitional autoregressive models
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• Robust inference for near-unit root processes with time-varying error variances
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Nonlinear Regressions with Integrated Time Series
• Varying coefficient partially nonlinear models with nonstationary regressors
• Local Linear Estimation of a Nonparametric Cointegration Model
• Random walk or chaos: a formal test on the Lyapunov exponent
• Robust inference in nonstationary time series models
• Taking a new contour: a novel approach to panel unit root tests
• Spurious regressions in technical trading
• Summability of stochastic processes -- a generalization of integration for non-linear processes
• Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000
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• OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• The sum of the reciprocal of the random walk
• Negative powers of integrated processes
• Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
• A weighted sieve estimator for nonparametric time series models with nonstationary variables
• Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
• Nonstationary nonlinear quantile regression
• A note on nonlinear cointegration, misspecification, and bimodality
• Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Exponential functionals of integrated processes
• Nonlinear regression for unit root models with autoregressive errors
• Title not available (Why is that?)
• Nonparametric inference for quantile cointegrations with stationary covariates
• Testing for the Box-Cox parameter for an integrated process
• Testing for joint significance in nonstationary binary choice model
• Estimation for double-nonlinear cointegration
• Time-varying cointegration and the Kalman filter
• Asymptotics for weighted periodic transformations of integrated time series
• The power of unit root tests against nonlinear local alternatives
• Functional coefficient cointegration models with Box-Cox transformation

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