A note on nonlinear models with integrated regressors and convergence order results

DOI10.1016/J.ECONLET.2010.10.012MaRDI QIDQ533929zbMATH OpenOpenAlexFDO

Authors Ling Hu, Robert de Jong

Publication date 10 May 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2010.10.012

zbMATH Keywords

cointegrationnonlinear cointegrationunit root

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Nonlinear Regressions with Integrated Time Series
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• scientific article; zbMATH DE number 4143267
• Asymptotic distribution of an estimator of the variance of observations in a nonlinear regression model

Cites work

• scientific article; zbMATH DE number 1324089 (Why is no real title available?)
• scientific article; zbMATH DE number 3103824 (Why is no real title available?)
• Concavity of the Log Likelihood
• Nonlinear Regressions with Integrated Time Series
• Nonstationary Binary Choice
• Nonstationary discrete choice
• Nonstationary discrete choice: a corrigendum and addendum

Cited in

(4)

• Least squares estimation for nonlinear regression models with heteroscedasticity
• Estimation and test for quantile nonlinear cointegrating regression
• Cumulated sum of squares statistics for nonlinear and nonstationary regressions
• Semi-parametric single-index predictive regression models with cointegrated regressors

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