Browsing by Subject "Local time"

Now showing items 1-3 of 3

    • Article  

      The Bierens test for certain nonstationary models 

      Kasparis, Ioannis (2010)
      We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition ...
    • 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 ...