Showing 1 - 7 of 7
In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or I(1) processes. We show that this kind of nonlinearity in the regression function can...
Persistent link: https://www.econbiz.de/10009651936
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 integrable transformations of non-stationary sequences and time...
Persistent link: https://www.econbiz.de/10004998322
A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the...
Persistent link: https://www.econbiz.de/10005593461
In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the...
Persistent link: https://www.econbiz.de/10010817227
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 limit properties of the Nadaraya–Watson (NW) estimator for cointegrating regression under misspecified lag structure...
Persistent link: https://www.econbiz.de/10011052188
Present econometric methodology of inference in cointegrating regression is extended to mildly integrated time series of the type introduced by Magdalinos and Phillips (2007, 2009). It is well known that conventional approaches to estimating cointegrat- ing regressions fail to produce even...
Persistent link: https://www.econbiz.de/10010561670
Linear cointegration is known to have the important property of invariance un- der temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of integrable transformations of non-stationary sequences and time...
Persistent link: https://www.econbiz.de/10010561671