Browsing by Subject "Integrated process"

Now showing items 1-2 of 2

    • Article  

      Dynamic misspecification in nonparametric cointegrating regression 

      Kasparis, Ioannis; Phillips, Peter C. B. (2012)
      Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) ...
    • Article  

      Nonlinearity Induced Weak Instrumentation 

      Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2014)
      In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be ...