A note on nonlinear models with integrated regressors and convergence order results
AbstractThis note concerns an asymptotic distribution result from the literature on nonlinear estimation with integrated variables. It points out a way of strengthening local asymptotic distribution results towards results that hold for the global minimizer of the criterion function.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 111 (2011)
Issue (Month): 1 (April)
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Web page: http://www.elsevier.com/locate/ecolet
Nonlinear cointegration Cointegration Unit root;
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- Phillips, Peter C.B. & Jin, Sainan & Hu, Ling, 2007.
"Nonstationary discrete choice: A corrigendum and addendum,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 1115-1130, December.
- Peter C.B. Phillips & Sainan Jin & Ling Hu, 2005. "Nonstationary Discrete Choice: A Corrigendum and Addendum," Cowles Foundation Discussion Papers 1516, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 1999.
"Nonlinear Regressions with Integrated Time Series,"
Working Paper Series
no6, Institute of Economic Research, Seoul National University.
- Ling Hu & Peter C.B. Phillips, 2002.
"Nonstationary Discrete Choice,"
Cowles Foundation Discussion Papers
1364, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 2000.
"Nonstationary Binary Choice,"
Econometric Society, vol. 68(5), pages 1249-1280, September.
- Peter C.B. Phillips & Joon Y. Park, 1999. "Nonstationary Binary Choice," Cowles Foundation Discussion Papers 1223, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 1999. "Nonstationary Binary Choice," Working Paper Series no5, Institute of Economic Research, Seoul National University.
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