ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”

DOI10.1017/S0266466604203085MaRDI QIDQ4653564zbMATH OpenFDO

Authors Robert de Jong

Publication date 7 March 2005

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466604203085

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(19)

• Long-memory property of nonlinear transformations of break processes
• Exponential functionals of integrated processes
• Nonparametric predictive regression
• Summability of stochastic processes -- a generalization of integration for non-linear processes
• Functional form misspecification in regressions with a unit root
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Local limit theory and spurious nonparametric regression
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
• Negative powers of integrated processes
• Cumulated sum of squares statistics for nonlinear and nonstationary regressions
• The sum of the reciprocal of the random walk
• Asymptotics for weighted periodic transformations of integrated time series
• CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES
• Time-varying cointegration and the Kalman filter
• OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
• The Bierens test for certain nonstationary models

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