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Specification testing for nonlinear cointegrating regression

Wang, Qiying; Phillips, Peter C. B. - 2011

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification … cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …

Persistent link: https://www.econbiz.de/10008826041

Specification tests of parametric dynamic conditional quantiles

Escanciano, Juan Carlos; Velasco, Carlos - In: Journal of econometrics 159 (2010) 1, pp. 209-221

Persistent link: https://www.econbiz.de/10008839927

Testing for co-nonlinearity

Hungnes, Håvard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 339-353

Persistent link: https://www.econbiz.de/10011339430

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195

Persistent link: https://www.econbiz.de/10011339876

Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10009767269