• Article  

      Density ratio model selection 

      Fokianos, Konstantinos (2007)
      The density ratio model presumes that the log-likelihood ratio of two unknown densities is of some known parametric linear form. However, the choice of the functional form has an impact on both estimation and testing. The ...
    • 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) ...