On a measure of lack of fit in nonlinear cointegrating regression with endogeneity

DOI10.5705/ss.202017.0317zbMath1444.62089OpenAlexW2954676705WikidataQ130015107 ScholiaQ130015107MaRDI QIDQ5220372

Ke Zhu, Qiying Wang

Publication date: 16 March 2020

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202017.0317

zbMATH Keywords

endogeneityconsistencycointegrationnonlinear regressionnonstationarityadditive modelportmanteau testlong memory regressor

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) General nonlinear regression (62J02)

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