Nonlinear Cointegrating Regression under Weak Identification
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Note: CFP 1355.
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Other versions of this item:
- Shi, Xiaoxia & Phillips, Peter C.B., 2012. "Nonlinear Cointegrating Regression Under Weak Identification," Econometric Theory, Cambridge University Press, vol. 28(3), pages 509-547, June.
References listed on IDEAS
- Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
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- Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics.
Citations
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Cited by:
- Wang, Qiying & Wu, Dongsheng & Zhu, Ke, 2018. "Model checks for nonlinear cointegrating regression," Journal of Econometrics, Elsevier, vol. 207(2), pages 261-284.
- Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015.
"Testing linearity using power transforms of regressors,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
- Yae In Baek & Jin Seo Cho & Peter C.B. Phillips, 2013. "Testing Linearity Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 1917, Cowles Foundation for Research in Economics, Yale University.
- YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015. "Testing Linearity Using Power Transforms of Regressors," Working papers 2015rwp-79, Yonsei University, Yonsei Economics Research Institute.
- Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015.
"Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines,"
Econometric Theory, Cambridge University Press, vol. 31(4), pages 753-777, August.
- Haiqiang Chen & Ying Fang & Yingxing Li, 2013. "Estimation and Inference for Varying-coefficient Models with Nonstationary Regressors using Penalized Splines," SFB 649 Discussion Papers SFB649DP2013-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Andrews, Donald W.K. & Cheng, Xu, 2014.
"Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure,"
Econometric Theory, Cambridge University Press, vol. 30(2), pages 287-333, April.
- Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
- Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
- Hu, Zhishui & Phillips, Peter C.B. & Wang, Qiying, 2021.
"Nonlinear Cointegrating Power Function Regression With Endogeneity,"
Econometric Theory, Cambridge University Press, vol. 37(6), pages 1173-1213, December.
- Zhishui Hu & Peter C.B. Phillips & Qiying Wang, 2019. "Nonlinear Cointegrating Power Function Regression with Endogeneity," Cowles Foundation Discussion Papers 2211, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Sainan Jin, 2014.
"Testing the Martingale Hypothesis,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
- Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
- Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
- repec:wyi:journl:002195 is not listed on IDEAS
- Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
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More about this item
Keywords
Integrated process; Local time; Nonlinear regression; Uniform weak convergence; Weak identification;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-09-25 (Econometrics)
- NEP-ETS-2010-09-25 (Econometric Time Series)
- NEP-ORE-2010-09-25 (Operations Research)
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