• 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) ...
    • Book  

      Dynamic misspecification in nonparametric cointegrating regression 

      Kasparis, Ioannis; Phillips, Peter C. B. (2009)
      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 requisite limit theory involves sample covariances ...
    • Book  

      Non-linearity induced weak instrumentation 

      Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2012)
    • 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 ...
    • Book  

      Nonparametric predictive regression 

      Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2012)
    • Book  

      Nonparametric predictive regression 

      Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2013)
    • Article  

      Nonparametric predictive regression 

      Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2015)
      A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are ...