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Strong Approximations for Nonlinear Transformations of Integrated Time Series

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  • Park, Joon

    (Rice U)

Abstract

In this paper we establish the strong approximations for the nonlinear transformations of integrated time series. Both the asymptotically homogeneous and integrable transformations are considered, and the explicit rates for the convergence to their limit distributions are obtained under mild regularity conditions that are satisfied by virtually all nonlinear models used in practical applications. The first order asymptotics are also derived under the conditions that are significantly weaker than those required by earlier works.

Suggested Citation

  • Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics.
    • Handle: RePEc:ecl:riceco:2003-18
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    File URL: http://www.ruf.rice.edu/~econ/papers/2003papers/18park.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Chang, Yoosoon & Park, Joon Y., 2003. "Index models with integrated time series," Journal of Econometrics, Elsevier, vol. 114(1), pages 73-106, May.
    4. Ross Williams, 2013. "Introduction," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 46(4), pages 460-461, December.
    5. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
    6. 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.
    7. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
    8. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(3), pages 269-298, June.
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    Cited by:

    1. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
    2. Chung, Heetaik & Park, Joon Y., 2007. "Nonstationary nonlinear heteroskedasticity in regression," Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
    3. Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.

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