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 …

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a … nonlinear function that may be close to zero. In that case, standard nonlinear cointegrating limit theory does not provide good … inference. A new local limit theory is developed that approximates the finite sample distributions of the estimators uniformly …

An asymptotic theory is developed for nonlinear regression with integrated processes. The models allow for nonlinear … effects from unit root time series and therefore deal with the case of parametric nonlinear cointegration. The theory covers … distribution theory is provided. In general, the limit theory is mixed normal with mixing variates that depend on the sojourn time …

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. …

of endogeneity in the regressor. The paradox arises because additional correct information is not necessarily … advantageous when information is incomplete. In the present case, endogeneity in the regressor introduces bias when the true … and propose two new consistent estimators for the parametric regression, which address the endogeneity in the regressor by …

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 …