ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

DOI10.1017/S0266466699153015MaRDI QIDQ4512689zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(94)

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• Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
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• Nonparametric inference for quantile cointegrations with stationary covariates
• Testing for the Box-Cox parameter for an integrated process
• Long-memory property of nonlinear transformations of break processes
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• Estimation for double-nonlinear cointegration
• Logarithmic spurious regressions
• Time-varying cointegration and the Kalman filter
• Testing linearity using power transforms of regressors
• Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• Nonstationary discrete choice
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Asymptotics for weighted periodic transformations of integrated time series
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• Testing for a unit root against transitional autoregressive models
• The power of unit root tests against nonlinear local alternatives
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• Robust inference for near-unit root processes with time-varying error variances
• Functional coefficient cointegration models with Box-Cox transformation
• Nonlinear Regressions with Integrated Time Series
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• Taking a new contour: a novel approach to panel unit root tests
• Spurious regressions in technical trading

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