standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …

standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …

Linear cointegration is known to have the important property of invariance under temporal translation. The same … property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … linear cointegration which is invariant to time translation. When centered on the pseudo-function and appropriately scaled …

estimator whose limit distribution theory corresponds to the prototypical pure (i.e., exogenous covariate) cointegration case … econometric estimation and testing techniques in the cointegration literature to accommodate time variation and complications of …

sympathetic with semiparametric estimation approaches to cointegration analysis. Some simulations results on nite sample …

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n …

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence …