Nonlinear regressions with nonstationary time series

Nigel Chan and Qiying Wang ()

Journal of Econometrics, 2015, vol. 185, issue 1, 182-195

Abstract: This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general framework for weak consistency that is easy to apply for various nonstationary time series, including partial sums of linear processes and Harris recurrent Markov chains. We provide limit distributions for nonlinear least square estimators, extending the previous works. We also introduce endogeneity to the model by allowing the error to be serially dependent on and cross correlated with the regressors.

Keywords: Cointegration; Nonlinear regressions; Consistency; Limit distribution; Nonstationarity; Nonlinearity; Endogeneity (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:185:y:2015:i:1:p:182-195

DOI: 10.1016/j.jeconom.2014.04.025

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