Shi, Xiaoxia; Phillips, Peter C.B. - In: Econometric Theory 28 (2012) 03, pp. 509-547
An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In...