Gao, Jiti; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2010
A system of vector semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are strictly exogenous and represent...