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Nonlinear regressions with nonstationary time series

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  • Chan, Nigel
  • Wang, Qiying

Abstract

This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general framework for weak consistency that is easy to apply for various nonstationary time series, including partial sums of linear processes and Harris recurrent Markov chains. We provide limit distributions for nonlinear least square estimators, extending the previous works. We also introduce endogeneity to the model by allowing the error to be serially dependent on and cross correlated with the regressors.

Suggested Citation

  • Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
  • Handle: RePEc:eee:econom:v:185:y:2015:i:1:p:182-195
    DOI: 10.1016/j.jeconom.2014.04.025
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:econom:v:207:y:2018:i:2:p:261-284 is not listed on IDEAS
    2. Vanessa Berenguer-Rico & Bent Nielsen, 2015. "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers 2015-W09, Economics Group, Nuffield College, University of Oxford.
    3. repec:bla:jtsera:v:38:y:2017:i:6:p:1000-1009 is not listed on IDEAS
    4. 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.

    More about this item

    Keywords

    Cointegration; Nonlinear regressions; Consistency; Limit distribution; Nonstationarity; Nonlinearity; Endogeneity;

    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

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