Nonlinear Regressions with Integrated Time Series

Joon Y. Park () and Peter C. B. Phillips ()

Working Paper Series from Institute of Economic Research, Seoul National University

Abstract: An asymptotic thoery is developed for nonlinear regression with integrated processes. The models allow for nonlinear effects from unit root time series and theory covers integrable, asymptotically homeogeneous and explosive 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^(1/4) for integrable functions, to be generally polynomial in n^(1/2) for homogeneous functions, and to be path dependent in the case of explosive functions. For regressions with integrable or explosive 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.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1999-03
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Related works:
Working Paper: Nonlinear Regressions with Integrated Time Series (1998)
Journal Article: Nonlinear Regressions with Integrated Time Series (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:snu:ioerwp:no6

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