Nonlinear Regressions with Integrated Time Series

Nonlinear Regressions with Integrated Time Series

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 integrable and asymptotically homogeneous functions. Suffi...

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Veröffentlicht in:Econometrica. - Wiley. - 69(2001), 1, Seite 117-161
1. Verfasser: Park, Joon Y. (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2001
Zugriff auf das übergeordnete Werk:Econometrica
Schlagworte:Functionals of Brownian Motion Integrated Process Local Time Mixed Normal Limit Theory Nonlinear Regression Occupation Density Information science Physical sciences Mathematics Economics Behavioral sciences
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520 |a 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 integrable and asymptotically homogeneous functions. Sufficient conditions for weak consistency are given and a limit distribution theory is provided. The rates of convergence depend on the properties of the nonlinear regression function, and are shown to be as slow as n<sup>1/4</sup> for integrable functions, and to be generally polynomial in n<sup>1/2</sup> for homogeneous functions. For regressions with integrable functions, the limiting distribution theory is mixed normal with mixing variates that depend on the sojourn time of the limiting Brownian motion of the integrated process. 
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