Non-linearity Induced Weak Instrumentation
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Other versions of this item:
- Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos, 2014. "Nonlinearity Induced Weak Instrumentation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 676-712, August.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012. "Non-linearity Induced Weak Instrumentation," University of Cyprus Working Papers in Economics 02-2012, University of Cyprus Department of Economics.
References listed on IDEAS
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- 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.
- Rustam Ibragimov & Peter C.B. Phillips, 2004. "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers 1473, Cowles Foundation for Research in Economics, Yale University.
- Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression asymptotics using martingale convergence methods," Scholarly Articles 2624459, Harvard University Department of Economics.
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"Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression,"
Econometric Theory, Cambridge University Press, vol. 25(3), pages 710-738, June.
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"Nonstationary discrete choice: A corrigendum and addendum,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 1115-1130, December.
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"Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra,"
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"Nonlinear Regressions with Integrated Time Series,"
Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
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- 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.
- Joon Y. Park & J. Isaac Miller, 2004. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings 597, Econometric Society.
- J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri.
- P. Jeganathan, 2008. "Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions," Cowles Foundation Discussion Papers 1649, Cowles Foundation for Research in Economics, Yale University.
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"Nonlinear Functions And Convergence To Brownian Motion: Beyond The Continuous Mapping Theorem,"
Econometric Theory, Cambridge University Press, vol. 20(1), pages 1-22, February.
- Benedikt M. Pötscher, 2001. "Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem," Vienna Economics Papers 0203, University of Vienna, Department of Economics.
- P. Jeganathan, 2006. "Limit Theorems for Functionals of Sums That Converge to Fractional Stable Motions," Cowles Foundation Discussion Papers 1558, Cowles Foundation for Research in Economics, Yale University, revised Mar 2006.
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Citations
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Cited by:
- Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015.
"Nonparametric predictive regression,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics 14-2012, University of Cyprus Department of Economics.
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013. "Nonparametric Predictive Regression," CEPR Discussion Papers 9570, C.E.P.R. Discussion Papers.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- Peter C.B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers 1910, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Lee, Ji Hyung, 2016. "Robust econometric inference with mixed integrated and mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 192(2), pages 433-450.
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More about this item
Keywords
Instrumental variables; Integrable function; Integrated process; Invariance principle; Local time; Mixed normality; Stationarity; Nonlinear cointegration; Unit roots; Weak Instruments;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2012-09-16 (Econometric Time Series)
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