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...
Veröffentlicht in: | Econometrica. - Wiley. - 69(2001), 1, Seite 117-161 |
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Format: | Online-Aufsatz |
Sprache: | English |
Veröffentlicht: |
2001
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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 |
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