Nonlinear Cointegration, Misspecification and Bimodality
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References listed on IDEAS
- Ibragimov, Rustam & Phillips, Peter C.B., 2008.
"Regression Asymptotics Using Martingale Convergence Methods,"
Cambridge University Press, vol. 24(04), 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.
- Hansen, Bruce E., 1992. "Heteroskedastic cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 139-158.
More about this item
KeywordsCointegration; nonlinearity; bimodality; misspecification; instrumental variables; asymptotic theory.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
- NEP-ECM-2010-11-06 (Econometrics)
- NEP-ETS-2010-11-06 (Econometric Time Series)
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