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A note on nonlinear models with integrated regressors and convergence order results

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Listed author(s):
  • de Jong, Robert
  • Hu, Ling

Abstract

This 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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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(10)00350-2
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 111 (2011)
Issue (Month): 1 (April)
Pages: 23-25

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Handle: RePEc:eee:ecolet:v:111:y:2011:i:1:p:23-25
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

Keywords: Nonlinear cointegration Cointegration Unit root;

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  1. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
  2. Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
  3. 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.
  4. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
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Cited by:

  1. Li, Haiqi & Zheng, Chaowen & Guo, Yu, 2016. "Estimation and test for quantile nonlinear cointegrating regression," Economics Letters, Elsevier, vol. 148(C), pages 27-32.

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