A note on nonlinear cointegration, misspecification, and bimodality

DOI10.1080/07474938.2012.690676MaRDI QIDQ5080465zbMATH OpenOpenAlexFDO

Authors Marcelo C. Medeiros, Eduardo F. Mendes, Les Oxley

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://repec.canterbury.ac.nz/cbt/econwp/1001.pdf

zbMATH Keywords

asymptotic theorymisspecificationcointegrationnonlinearitybimodality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Dynamic misspecification in nonparametric cointegrating regression
• scientific article; zbMATH DE number 1240616
• Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Nonlinear Regressions with Integrated Time Series

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
• Endogeneity in nonlinear regressions with integrated time series
• Functional-coefficient cointegration models
• Heteroskedastic cointegration
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Testing linearity in cointegrating smooth transition regressions

Cited in

(4)

• Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
• Dynamic misspecification in nonparametric cointegrating regression
• The failure of orthogonality under nonstationarity: should we care about it?
• Functional form misspecification in regressions with a unit root

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