Browsing by Subject "Nonlinear cointegration"
Now showing items 1-3 of 3
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Article
The Bierens test for certain nonstationary models
(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 ...
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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 ...