Sun, Yiguo - In: Journal of Time Series Analysis 35 (2014) 5, pp. 437-461
type="main" xml:id="jtsa12075-abs-0001"This article considers linear cointegrating models with unknown nonlinear short-run contemporaneous endogeneity. Two estimators are proposed to estimate the linear cointegrating parameter after the nonlinear endogenous component is estimated by local linear...