Browsing by Subject "Mixed normality"
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Article
Dynamic misspecification in nonparametric cointegrating regression
(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) ...
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Article
Nonlinearity Induced Weak Instrumentation
(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 ...