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Nonlinear Regressions with Integrated Time Series

Citations

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Cited by:

  1. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
  2. Kapetanios, George & Shin, Yongcheol, 2008. "GLS detrending-based unit root tests in nonlinear STAR and SETAR models," Economics Letters, Elsevier, vol. 100(3), pages 377-380, September.
  3. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  4. Marcelo C. Medeiros & Eduardo Mendes & Les Oxley, 2014. "A Note on Nonlinear Cointegration, Misspecification, and Bimodality," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 713-731, October.
  5. Kim, Chang Sik & Kim, In-Moo, 2008. "Nonlinear regression for unit root models with autoregressive errors," Economics Letters, Elsevier, vol. 100(3), pages 326-329, September.
  6. Anne-Laure Delatte & Julien Fouquau & Carsten Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Communist Economies, Taylor & Francis Journals, vol. 26(3), pages 376-400, September.
  7. Bernoth, Kerstin & Erdogan, Burcu, 2012. "Sovereign bond yield spreads: A time-varying coefficient approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 639-656.
  8. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
  9. Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics.
  10. Federico Bandi & Peter C. B. Phillips, 2000. "Accelerated Asymptotics for Diffusion Model Estimation," Econometric Society World Congress 2000 Contributed Papers 1656, Econometric Society.
  11. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
  12. Linton, Oliver & Wang, Qiying, 2016. "Nonparametric Transformation Regression With Nonstationary Data," Econometric Theory, Cambridge University Press, vol. 32(01), pages 1-29, February.
  13. Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, vol. 24(04), pages 888-947, August.
  14. repec:taf:jnlbes:v:35:y:2017:i:2:p:288-305 is not listed on IDEAS
  15. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
  16. Chen, Haiqiang, 2015. "Robust Estimation And Inference For Threshold Models With Integrated Regressors," Econometric Theory, Cambridge University Press, vol. 31(04), pages 778-810, August.
  17. Li, Dao & He, Changli, 2012. "Testing for Linear Cointegration Against Smooth-Transition Cointegration," Working Papers 2012:6, Örebro University, School of Business.
  18. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
  19. 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.
  20. Yann Schorderet, 2003. "Asymmetric Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2003.01, Institut d'Economie et Econométrie, Université de Genève.
  21. Martha Alicia Misasarango & Enrique Antonio Lopezenciso & Carlos Arango & Juan Nicolashernandez, 2004. "No-Linealidades En La Demanada De Efectivo En Colombia: Las Redes Neuronales Como Herramienta De Pronostico," Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 22(45), pages 10-57, June.
  22. Ioannis Kasparis & Peter Phillips & Tassos Magdalinos, 2014. "Nonlinearity Induced Weak Instrumentation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 676-712.
  23. Markus Eberhardt, 2013. "Nonlinearities in the Relationship between Debt and Growth: Evidence from Co-Summability Testing," Discussion Papers 2013/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  24. Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
  25. doğru, bülent, 2013. "Dynamic Analysis of Money Demand Function: Case of Turkey," MPRA Paper 48402, University Library of Munich, Germany.
  26. 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.
  27. 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.
  28. Wagner, Martin, 2008. "The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?," Resource and Energy Economics, Elsevier, vol. 30(3), pages 388-408, August.
  29. Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
  30. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
  31. Shahbaz, Muhammad & Shahzad, Syed Jawad Hussain & Alam, Shaista & Apergis, Nicholas, 2018. "Globalisation, Economic Growth and Energy Consumption in the BRICS Region: The Importance of Asymmetries," MPRA Paper 86979, University Library of Munich, Germany, revised 16 May 2018.
  32. Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
  33. 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.
  34. Joon Y. Park & Mototsugu Shintani, 2016. "Testing For A Unit Root Against Transitional Autoregressive Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57, pages 635-664, May.
  35. Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y., 2009. "Extracting a common stochastic trend: Theory with some applications," Journal of Econometrics, Elsevier, vol. 150(2), pages 231-247, June.
  36. Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
  37. Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(03), pages 710-738, June.
  38. J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005. "Extracting a Common Stochastic Trend:Theories with Some Applications," Working Papers 0507, Department of Economics, University of Missouri, revised 18 Aug 2005.
  39. Youngsoo Bae & Robert M. de Jong, 2007. "Money demand function estimation by nonlinear cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 767-793.
  40. Dong, Chaohua & Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2017. "Specification testing for nonlinear multivariate cointegrating regressions," Journal of Econometrics, Elsevier, vol. 200(1), pages 104-117.
  41. Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
  42. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
  43. 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.
  44. Granger, Clive W.J., 2012. "Useful conclusions from surprising results," Journal of Econometrics, Elsevier, vol. 169(2), pages 142-146.
  45. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
  46. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  47. Kim, Jihyun & Park, Joon Y., 2017. "Asymptotics for recurrent diffusions with application to high frequency regression," Journal of Econometrics, Elsevier, vol. 196(1), pages 37-54.
  48. Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015. "Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines," Econometric Theory, Cambridge University Press, vol. 31(04), pages 753-777, August.
  49. Park, Joon Y., 2006. "A bootstrap theory for weakly integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 639-672, August.
  50. Chang, Yoosoon & Park, Joon Y., 2003. "Index models with integrated time series," Journal of Econometrics, Elsevier, vol. 114(1), pages 73-106, May.
  51. repec:bla:jtsera:v:38:y:2017:i:6:p:1000-1009 is not listed on IDEAS
  52. Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015. "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
  53. Jian Huang & Masahito Kobayashi & Michael McAleer, 2009. "Testing the Box-Cox Parameter in an Integrated Process," CIRJE F-Series CIRJE-F-661, CIRJE, Faculty of Economics, University of Tokyo.
  54. Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
  55. K. Hassanain, 2004. "Purchasing Power Parity And Cross-Sectional Dependency," South African Journal of Economics, Economic Society of South Africa, vol. 72(2), pages 238-257, June.
  56. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  57. Gao, Jiti, 2012. "Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models," MPRA Paper 39256, University Library of Munich, Germany, revised 14 May 2012.
  58. Kim, Chang Sik & Kim, In-Moo, 2012. "Partial parametric estimation for nonstationary nonlinear regressions," Journal of Econometrics, Elsevier, vol. 167(2), pages 448-457.
  59. Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
  60. Escanciano, J. Carlos, 2007. "Weak convergence of non-stationary multivariate marked processes with applications to martingale testing," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1321-1336, August.
  61. Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(06), pages 1349-1375, December.
  62. Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
  63. Moon, Hyungsik Roger, 2004. "Maximum score estimation of a nonstationary binary choice model," Journal of Econometrics, Elsevier, vol. 122(2), pages 385-403, October.
  64. 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.
  65. Jesús Gonzalo & Jean-Yves Pitarakis, 2006. "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
  66. 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.
  67. repec:wyi:journl:002203 is not listed on IDEAS
  68. Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
  69. Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
  70. Huang, Shirley J. & Yu, Jun, 2010. "Bayesian analysis of structural credit risk models with microstructure noises," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2259-2272, November.
  71. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
  72. Stephen Norman, 2009. "Testing for a unit root against ESTAR nonlinearity with a delay parameter greater than one," Economics Bulletin, AccessEcon, vol. 29(3), pages 2152-2173.
  73. Chang, Yoosoon & Nguyen, Chi Mai, 2012. "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, vol. 167(2), pages 504-520.
  74. Im, K.S. & Pesaran, M.H., 2003. "On The Panel Unit Root Tests Using Nonlinear Instrumental Variables," Cambridge Working Papers in Economics 0347, Faculty of Economics, University of Cambridge.
  75. Chung, Heetaik & Park, Joon Y., 2007. "Nonstationary nonlinear heteroskedasticity in regression," Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
  76. Degui Li & Dag Tjøstheim & Jiti Gao, 2012. "Nonlinear Regression with Harris Recurrent Markov Chains," Monash Econometrics and Business Statistics Working Papers 14/12, Monash University, Department of Econometrics and Business Statistics.
  77. 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.
  78. Romero-Avila, Diego, 2008. "Questioning the empirical basis of the environmental Kuznets curve for CO2: New evidence from a panel stationarity test robust to multiple breaks and cross-dependence," Ecological Economics, Elsevier, vol. 64(3), pages 559-574, January.
  79. Park, Joon, 2003. "Weak Unit Roots," Working Papers 2003-17, Rice University, Department of Economics.
  80. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
  81. Demetrescu Matei, 2009. "Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-30, December.
  82. Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
  83. Michaël GOUJON & Sylviane GUILLAUMONT JEANNENEY & Christopher ADAM, 2003. "Currency substitution and the transactions demand for money," Working Papers 200304, CERDI.
  84. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
  85. Gerdie Everaert & Freddy Heylen & Ruben Schoonackers, 2015. "Fiscal policy and TFP in the OECD: measuring direct and indirect effects," Empirical Economics, Springer, vol. 49(2), pages 605-640, September.
  86. Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  87. 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.
  88. Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
  89. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
  90. Gu, Jingping & Liang, Zhongwen, 2014. "Testing cointegration relationship in a semiparametric varying coefficient model," Journal of Econometrics, Elsevier, vol. 178(P1), pages 57-70.
  91. Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
  92. Muller-Furstenberger, Georg & Wagner, Martin, 2007. "Exploring the environmental Kuznets hypothesis: Theoretical and econometric problems," Ecological Economics, Elsevier, vol. 62(3-4), pages 648-660, May.
  93. Georg Muller-Furstenberger & Martin Wagner & Benito Muller, 2005. "Exploring the Carbon Kuznets Hypothesis," Others 0506009, University Library of Munich, Germany.
  94. Aït-Sahalia, Yacine & Park, Joon Y., 2016. "Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models," Journal of Econometrics, Elsevier, vol. 192(1), pages 119-138.
  95. Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
  96. Jean-Philippe Gervais, 2011. "Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1497-1510.
  97. Christopher Adam & Michael Goujon & Sylviane Guillaumont Jeanneney, 2004. "The transactions demand for money in the presence of currency substitution: evidence from Vietnam," Applied Economics, Taylor & Francis Journals, vol. 36(13), pages 1461-1470.
  98. Choudhry, Taufiq & Hassan, Syed S., 2015. "Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 89-101.
  99. Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
  100. Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
  101. Gonzalo, Jesús & Berenguer Rico, Vanessa, 2013. "Co-summability from linear to non-linear cointegration," UC3M Working papers. Economics we1312, Universidad Carlos III de Madrid. Departamento de Economía.
  102. Delatte, Anne-Laure & Fouquau, Julien & Holz, Carsten, 2013. "Understanding Money Demand in the Transition from a Centrally Planned to a Market Economy," CEPR Discussion Papers 9721, C.E.P.R. Discussion Papers.
  103. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
  104. Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
  105. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
  106. de Jong, Robert & Hu, Ling, 2011. "A note on nonlinear models with integrated regressors and convergence order results," Economics Letters, Elsevier, vol. 111(1), pages 23-25, April.
  107. repec:wyi:journl:002195 is not listed on IDEAS
  108. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
  109. Kasparis, Ioannis & Phillips, Peter C.B., 2012. "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, vol. 168(2), pages 270-284.
  110. Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.
  111. Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
  112. Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
  113. Luya Wang & Zhongwen Liang & Juan Lin & Qi Li, 2015. "Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 353-369, November.
  114. Huang, Jian & Kobayashi, Masahito & McAleer, Michael, 2012. "Testing for the Box–Cox parameter for an integrated process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 1-9.
  115. Yong Li & Jun Yu, 2010. "A New Bayesian Unit Root Test in Stochastic Volatility Models," Working Papers 21-2010, Singapore Management University, School of Economics, revised Oct 2010.
  116. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
  117. Nojković, Aleksandra & Petrović, Pavle, 2015. "Monetary policy rule in inflation targeting emerging European countries: A discrete choice approach," Journal of Policy Modeling, Elsevier, vol. 37(4), pages 577-595.
  118. Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
  119. Phillips, Peter C.B., 2009. "Local Limit Theory And Spurious Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1466-1497, December.
  120. Juan Gabriel Brida & Diego Giuliani, 2012. "Empirical assessment of the tourism-led growth hypothesis: the case of the “Tirol-Südtirol-Trentino†Europaregion," DISA Working Papers 2012/02, Department of Computer and Management Sciences, University of Trento, Italy, revised Mar 2012.
  121. Jiti Gao, 2012. "Identification, Estimation and Specification in a Class of Semiparametic Time Series Models," Monash Econometrics and Business Statistics Working Papers 6/12, Monash University, Department of Econometrics and Business Statistics.
  122. Biqing Cai & Dag Tjøstheim, 2015. "Nonparametric Regression Estimation for Multivariate Null Recurrent Processes," Econometrics, MDPI, Open Access Journal, vol. 3(2), pages 1-24, April.
  123. Myunghwan Seo, 2005. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," STICERD - Econometrics Paper Series 484, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  124. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
  125. 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.
  126. Lee, Young-Sook & Kim, Tae-Hwan & Newbold, Paul, 2005. "Spurious nonlinear regressions in econometrics," Economics Letters, Elsevier, vol. 87(3), pages 301-306, June.
  127. George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song, 2013. "Domestic and outbound tourism demand in Australia: a System-of-Equations Approach," Monash Econometrics and Business Statistics Working Papers 6/13, Monash University, Department of Econometrics and Business Statistics.
  128. Yoosoon Chang & Wonho Song, 2002. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-2, International Conferences on Panel Data.
  129. George Kapetanios & Yongcheol Shin, 2003. "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," ESE Discussion Papers 108, Edinburgh School of Economics, University of Edinburgh.
  130. Schweikert, Karsten, 2018. "Testing for cointegration with threshold adjustment in the presence of structural breaks," Hohenheim Discussion Papers in Business, Economics and Social Sciences 07-2018, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
  131. Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.
  132. Dutkowsky, Donald H. & VanHoose, David D., 2011. "Interest on bank reserves and optimal sweeping," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2491-2497, September.
  133. Biqing Cai & Jiti Gao, 2013. "Hermite Series Estimation in Nonlinear Cointegrating Models," Monash Econometrics and Business Statistics Working Papers 17/13, Monash University, Department of Econometrics and Business Statistics.
  134. YABE, Ryota, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.
  135. repec:bdr:ensayo:v::y:2004:i:45:p:10-57 is not listed on IDEAS
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