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Endogeneity in nonlinear regressions with integrated time series

Chang, Yoosoon; Park, Joon Y. - In: Econometric reviews 30 (2011) 1, pp. 51-87

Persistent link: https://www.econbiz.de/10008990459

Nonlinear econometric models with cointegrated and deterministically trending regressors

Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B. - In: The econometrics journal 4 (2001) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10001612277

Nonlinear econometric models with cointegrated and deterministically trending regressors

Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B. - 1999

Persistent link: https://www.econbiz.de/10001498888

Nonlinear econometric models with cointegrated and deterministically trending regressors

Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B. - 1999

Persistent link: https://www.econbiz.de/10001440487

Nonlinear IV unit root tests in panels with cross-sectional dependency

Chang, Yoosoon - In: Journal of econometrics 110 (2002) 2, pp. 261-292

Persistent link: https://www.econbiz.de/10001703514

Nonstationary nonlinear heteroskedasticity

Park, Joon Y. - In: Journal of econometrics 110 (2002) 2, pp. 383-415

Persistent link: https://www.econbiz.de/10001703530

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Chang, Yoosoon; Park, Joon; Phillips, Peter C. B. - 2000

This paper develops an asymptotic theory for a general class of nonlinear ary regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating regressions. The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1)...

Persistent link: https://www.econbiz.de/10014164292

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Chang, Yoosoon; Park, Joon; Phillips, Peter C. B. - 2001

This paper develops an asymptotic theory for a general class of nonlinear non-stationary regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating regressions. The model considered accommodates a linear time trend and stationary regressors, as well as multiple...

Persistent link: https://www.econbiz.de/10014125966

Time series properties of ARCH processes with persistent covariates

Han, Heejoon; Park, Joon Y. - In: Journal of econometrics 146 (2008) 2, pp. 275-292

Persistent link: https://www.econbiz.de/10003782974

Functional-coefficient models for nonstationary time series data

Cai, Zongwu; Li, Qi; Park, Joon Y. - In: Journal of econometrics 148 (2009) 2, pp. 101-113

Persistent link: https://www.econbiz.de/10003833742