This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in … endo-geneity with contemporaneous correlation among the regressors, the varying coefficient drivers, and the residuals … asymptotic theory for nonlinear functionals of nonstationary and stationary time series that are of wider interest and …

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in … endogeneity with contemporaneous correlation among the regressors, the varying coefficient drivers, and the residuals. This … the conduct of semiparametric regression with nonstationary data. The results include some new asymptotic theory for …

its asymptotic properties are derived. Due to endogeneity in the parametric regressors, SLS is not consistent for the … nonstationarity is involved in both sets of regressors. …

This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general … the previous works. We also introduce endogeneity to the model by allowing the error to be serially dependent on and cross …

endogeneity, the least squares estimator has the same limiting distribution in this case. As an illustration of our theory, we … squares estimator under such endogeneity for the regressions with the integrable or asymptotically homogeneous regression … the estimator is consistent and has the same rate of convergence as for the case of the regressions with no endogeneity …