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Asymptotics For Nonlinear Transformations Of Integrated Time Series

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Cited by:

  1. Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
  2. Dong, Chaohua & Linton, Oliver, 2018. "Additive nonparametric models with time variable and both stationary and nonstationary regressors," Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
  3. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  4. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
  5. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
  6. Kim, Chang Sik & Kim, In-Moo, 2008. "Nonlinear regression for unit root models with autoregressive errors," Economics Letters, Elsevier, vol. 100(3), pages 326-329, September.
  7. Anne-Laure Delatte & Julien Fouquau & Carsten Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Communist Economies, Taylor & Francis Journals, vol. 26(3), pages 376-400, September.
  8. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
  9. Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics.
  10. Kramer, Walter & Davies, Laurie, 2002. "Testing for unit roots in the context of misspecified logarithmic random walks," Economics Letters, Elsevier, vol. 74(3), pages 313-319, February.
  11. Song, Tao & Zheng, Tingguo & Tong, Lianjun, 2008. "An empirical test of the environmental Kuznets curve in China: A panel cointegration approach," China Economic Review, Elsevier, vol. 19(3), pages 381-392, September.
  12. Federico Bandi & Peter C. B. Phillips, 2000. "Accelerated Asymptotics for Diffusion Model Estimation," Econometric Society World Congress 2000 Contributed Papers 1656, Econometric Society.
  13. Andrew P. Blake & George Kapetanios, 2007. "Testing for Neglected Nonlinearity in Cointegrating Relationships," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 807-826, November.
  14. Yicong Lin & Hanno Reuvers, 2019. "Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve," Papers 1908.02552, arXiv.org, revised Aug 2020.
  15. Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, vol. 24(4), pages 888-947, August.
  16. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
  17. Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
  18. Chang, Yoosoon, 2012. "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, vol. 169(1), pages 15-28.
  19. Li, Dao & He, Changli, 2012. "Testing for Linear Cointegration Against Smooth-Transition Cointegration," Working Papers 2012:6, Örebro University, School of Business.
  20. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
  21. Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017. "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
  22. Li, Shaoran & Linton, Oliver, 2021. "When will the Covid-19 pandemic peak?," Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
  23. Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
  24. Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
  25. doğru, bülent, 2013. "Dynamic Analysis of Money Demand Function: Case of Turkey," MPRA Paper 48402, University Library of Munich, Germany.
  26. Chang, Yoosoon, 2002. "Nonlinear IV unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 110(2), pages 261-292, October.
  27. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
  28. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
  29. 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.
  30. Wagner, Martin, 2008. "The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?," Resource and Energy Economics, Elsevier, vol. 30(3), pages 388-408, August.
  31. Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," Working Papers in Economics 10/77, University of Canterbury, Department of Economics and Finance.
  32. Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
  33. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
  34. Peng, Zhen & Dong, Chaohua, 2022. "Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors," Finance Research Letters, Elsevier, vol. 47(PB).
  35. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
  36. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
  37. Miller, J. Isaac & Park, Joon Y., 2010. "Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory," Journal of Econometrics, Elsevier, vol. 155(1), pages 83-89, March.
  38. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
  39. Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(3), pages 710-738, June.
  40. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
  41. repec:zbw:bofitp:2011_027 is not listed on IDEAS
  42. Youngsoo Bae & Robert M. de Jong, 2007. "Money demand function estimation by nonlinear cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 767-793.
  43. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
  44. Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
  45. 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.
  46. Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers 59/17, Institute for Fiscal Studies.
  47. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
  48. Pötscher, Benedikt M., 2013. "On The Order Of Magnitude Of Sums Of Negative Powers Of Integrated Processes," Econometric Theory, Cambridge University Press, vol. 29(3), pages 642-658, June.
  49. Chang, Yoosoon & Park, Joon Y., 2003. "Index models with integrated time series," Journal of Econometrics, Elsevier, vol. 114(1), pages 73-106, May.
  50. Rickard Sandberg, 2017. "Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 1000-1009, November.
  51. Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015. "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
  52. Jian Huang & Masahito Kobayashi & Michael McAleer, 2009. "Testing the Box-Cox Parameter in an Integrated Process," CIRJE F-Series CIRJE-F-661, CIRJE, Faculty of Economics, University of Tokyo.
  53. K. Hassanain, 2004. "Purchasing Power Parity And Cross‐Sectional Dependency," South African Journal of Economics, Economic Society of South Africa, vol. 72(2), pages 238-257, June.
  54. Ayman Mnasri & Zouhair Mrabet & Mouyad Alsamara, 2023. "A new quadratic asymmetric error correction model: does size matter?," Empirical Economics, Springer, vol. 65(1), pages 33-64, July.
  55. Sam Aflaki & Syed Abul Basher & Andrea Masini, 2015. "Does Economic Growth Matter? Technology-Push, Demand-Pull and Endogenous Drivers of Innovation in the Renewable Energy Industry," Working Papers hal-02011423, HAL.
  56. Kim, Chang Sik & Kim, In-Moo, 2012. "Partial parametric estimation for nonstationary nonlinear regressions," Journal of Econometrics, Elsevier, vol. 167(2), pages 448-457.
  57. Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
  58. Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
  59. Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
  60. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
  61. de Jong, Robert M., 2003. "Logarithmic spurious regressions," Economics Letters, Elsevier, vol. 81(1), pages 13-21, October.
  62. Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
  63. Konstantin Tyurin, 2007. "Midwest Econometric Group annual meeting (in Russian)," Quantile, Quantile, issue 2, pages 99-106, March.
  64. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics, University of Cambridge.
  65. Stypka, Oliver & Wagner, Martin & Grabarczyk, Peter & Kawka, Rafael, 2017. "The Asymptotic Validity of "Standard" Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions," Economics Series 333, Institute for Advanced Studies.
  66. Li, Haiqi & Zheng, Chaowen & Guo, Yu, 2016. "Estimation and test for quantile nonlinear cointegrating regression," Economics Letters, Elsevier, vol. 148(C), pages 27-32.
  67. Chen, Jia & Li, Degui & Zhang, Lixin, 2010. "Robust estimation in a nonlinear cointegration model," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 706-717, March.
  68. Joon Y. Park & Mototsugu Shintani, 2005. "Testing for a Unit Root against Transitional Autoregressive Models," Vanderbilt University Department of Economics Working Papers 05010, Vanderbilt University Department of Economics.
  69. Andrew P. Blake & George Kapetanios, 2007. "Testing for Neglected Nonlinearity in Cointegrating Relationships," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 807-826, November.
  70. Jesús Gonzalo & Jean‐Yves Pitarakis, 2006. "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
  71. Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001. "Nonlinear econometric models with cointegrated and deterministically trending regressors," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
  72. Chaohua Dong & Jiti Gao, 2014. "Specification Testing in Structural Nonparametric Cointegration," Monash Econometrics and Business Statistics Working Papers 2/14, Monash University, Department of Econometrics and Business Statistics.
  73. Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
  74. Park Joon Y. & Whang Yoon-Jae, 2005. "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-32, June.
  75. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
  76. Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
  77. Divino, Jose Angelo & Maciel, Daniel T.G.N. & Sosa, Wilfredo, 2020. "Government size, composition of public spending and economic growth in Brazil," Economic Modelling, Elsevier, vol. 91(C), pages 155-166.
  78. Chang, Yoosoon & Nguyen, Chi Mai, 2012. "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, vol. 167(2), pages 504-520.
  79. Cai, Zongwu, 2003. "Trending Time-Varying Coefficient Models With Serially Correlated Errors," SFB 373 Discussion Papers 2003,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  80. Im, K.S. & Pesaran, M.H., 2003. "On The Panel Unit Root Tests Using Nonlinear Instrumental Variables," Cambridge Working Papers in Economics 0347, Faculty of Economics, University of Cambridge.
  81. Nakashima, Kiyotaka, 2008. "An Extremely Low Interest Rate Policy and the Shape of the Japanese Money Demand Function: A Nonlinear Cointegration Approach," MPRA Paper 70689, University Library of Munich, Germany.
  82. Chung, Heetaik & Park, Joon Y., 2007. "Nonstationary nonlinear heteroskedasticity in regression," Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
  83. Degui Li & Dag Tjøstheim & Jiti Gao, 2012. "Nonlinear Regression with Harris Recurrent Markov Chains," Monash Econometrics and Business Statistics Working Papers 14/12, Monash University, Department of Econometrics and Business Statistics.
  84. Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon, 2004. "Nonlinear instrumental variable estimation of an autoregression," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 219-246.
  85. Romero-Avila, Diego, 2008. "Questioning the empirical basis of the environmental Kuznets curve for CO2: New evidence from a panel stationarity test robust to multiple breaks and cross-dependence," Ecological Economics, Elsevier, vol. 64(3), pages 559-574, January.
  86. Qiying Wang & Peter C. B. Phillips & Ying Wang, 2023. "New asymptotics applied to functional coefficient regression and climate sensitivity analysis," Cowles Foundation Discussion Papers 2365, Cowles Foundation for Research in Economics, Yale University.
  87. Park, Joon, 2003. "Weak Unit Roots," Working Papers 2003-17, Rice University, Department of Economics.
  88. Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers 2301.06631, arXiv.org.
  89. Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
  90. Martin Wagner, 2023. "Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions," Empirical Economics, Springer, vol. 65(1), pages 1-31, July.
  91. Demetrescu Matei, 2009. "Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-30, December.
  92. 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.
  93. Mao, Guangyu, 2014. "Testing for joint significance in nonstationary binary choice model," Economics Letters, Elsevier, vol. 122(2), pages 311-313.
  94. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
  95. Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
  96. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
  97. Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
  98. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
  99. Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
  100. Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
  101. Muller-Furstenberger, Georg & Wagner, Martin, 2007. "Exploring the environmental Kuznets hypothesis: Theoretical and econometric problems," Ecological Economics, Elsevier, vol. 62(3-4), pages 648-660, May.
  102. Georg Muller-Furstenberger & Martin Wagner & Benito Muller, 2005. "Exploring the Carbon Kuznets Hypothesis," Others 0506009, University Library of Munich, Germany.
  103. Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
  104. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
  105. Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
  106. Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
  107. Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
  108. Burak Alparslan Eroğlu & J. Isaac Miller & Taner Yiğit, 2022. "Time-varying cointegration and the Kalman filter," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 1-21, January.
  109. Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020. "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers 2006.12595, arXiv.org.
  110. Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
  111. Qiying Wang & Peter C. B. Phillips, 2022. "A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series," Cowles Foundation Discussion Papers 2337, Cowles Foundation for Research in Economics, Yale University.
  112. Delatte, Anne-Laure & Holz, Carsten, 2013. "Understanding Money Demand in the Transition from a Centrally Planned to a Market Economy," CEPR Discussion Papers 9721, C.E.P.R. Discussion Papers.
  113. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
  114. Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
  115. Joon Y. Park & Mototsugu Shintani, 2016. "Testing For A Unit Root Against Transitional Autoregressive Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 635-664, May.
  116. Kapetanios George, 2003. "Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-16, July.
  117. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
  118. Kasparis, Ioannis & Phillips, Peter C.B., 2012. "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, vol. 168(2), pages 270-284.
  119. Jin, Sainan, 2009. "Discrete choice modeling with nonstationary panels applied to exchange rate regime choice," Journal of Econometrics, Elsevier, vol. 150(2), pages 312-321, June.
  120. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de Estadística.
  121. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
  122. Grabowski, Wojciech & Welfe, Aleksander, 2020. "The Tobit cointegrated vector autoregressive model: An application to the currency market," Economic Modelling, Elsevier, vol. 89(C), pages 88-100.
  123. Mototsugu Shintani & Tomoyoshi Yabu & Daisuke Nagakura, 2008. "Spurious Regressions in Technical Trading: Momentum or Contrarian?," IMES Discussion Paper Series 08-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  124. Berenguer Rico, Vanessa & Gonzalo, Jesús, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de Economía.
  125. Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
  126. Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
  127. Riddel, Mary C., 2000. "Finite Sample Properties Of Nonstationary Binary Response Models: A Monte Carlo And Response Surface Analysis," 2000 Annual meeting, July 30-August 2, Tampa, FL 21821, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  128. Chang, Yoosoon & Song, Wonho, 2005. "Unit Root Tests for Panels in the Presence of Short-run and Long-run Dependencies: Nonlinear IV Approach with Fixed N and Large T," Working Papers 2002-06, Rice University, Department of Economics.
  129. Huang, Jian & Kobayashi, Masahito & McAleer, Michael, 2012. "Testing for the Box–Cox parameter for an integrated process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 1-9.
  130. Zongwu Cai & Bingyi Jing & Xinbing Kong & Zhi Liu, 2017. "Nonparametric regression with nearly integrated regressors under long‐run dependence," Econometrics Journal, Royal Economic Society, vol. 20(1), pages 118-138, February.
  131. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
  132. Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Papers 2111.02023, arXiv.org.
  133. Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
  134. Phillips, Peter C.B., 2009. "Local Limit Theory And Spurious Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1466-1497, December.
  135. Park, Joon Y., 2002. "Nonstationary nonlinear heteroskedasticity," Journal of Econometrics, Elsevier, vol. 110(2), pages 383-415, October.
  136. Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
  137. Gotz, Linde & Qiu, Feng & Glauben, Thomas, 2012. "The Law of One Price under State-Dependent Policy Intervention: An Application to the Ukrainian Wheat Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124904, Agricultural and Applied Economics Association.
  138. Anne-Laure Delatte & Julien Fouquau & Carsten Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Communist Economies, Taylor & Francis Journals, vol. 26(3), pages 376-400, September.
  139. Peter C. B. Phillips, 2015. "Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(3), pages 521-555.
  140. Chaohua Dong & Jiti Gao, 2012. "Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 20/12, Monash University, Department of Econometrics and Business Statistics.
  141. Wang, Shaoping & Wang, Peng & Yang, Jisheng & Li, Zinai, 2010. "A generalized nonlinear IV unit root test for panel data with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 157(1), pages 101-109, July.
  142. Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke, 2012. "Spurious regressions in technical trading," Journal of Econometrics, Elsevier, vol. 169(2), pages 301-309.
  143. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
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