Nonlinear Cointegrating Regression Under Weak Identification
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- Xiaoxia Shi & Peter C. B. Phillips, 2010. "Nonlinear Cointegrating Regression under Weak Identification," Cowles Foundation Discussion Papers 1768, Cowles Foundation for Research in Economics, Yale University.
References listed on IDEAS
- Giacomini, Raffaella & Granger, Clive W. J., 2004.
"Aggregation of space-time processes,"
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- Giacomini, Raffaella & Granger, Clive W.J., 2001. "Aggregationn of Space-Time Processes," University of California at San Diego, Economics Working Paper Series qt77f76455, Department of Economics, UC San Diego.
- Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics.
- Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- 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.
- 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.
- Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015.
"Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines,"
Cambridge University Press, vol. 31(04), 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,"
Cambridge University Press, vol. 30(02), 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.
More about this item
- 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
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