NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

Joon Y. Park

Econometric Theory, 2014, vol. 30, issue 4, 894-922

Abstract: In this paper, we provide a survey of Peter Phillips’s works on the econometrics for models with nonstationary nonlinearity, and some of the extensions that were made possible due to his original contributions. Parametric and nonparametric models are considered in both discrete time and continuous time setups. Although some of the asymptotics in the paper are applicable more generally for a wide variety of nonstationary models, we mainly analyze models with nonstationary processes that allow for the functional limit theory with limit processes having well defined local times.

Date: 2014
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