A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series

Qiying Wang and Peter Phillips
Additional contact information
Qiying Wang: University of Sydney

No 2337, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Limit theory is provided for a wide class of covariance functionals of a nonstationary process and stationary time series. The results are relevant to estimation and inference in nonlinear nonstationary regressions that involve unit root, local unit root or fractional processes and they include both parametric and nonparametric regressions. Self normalized versions of these statistics are considered that are useful in inference. Numerical evidence reveals a strong bimodality in the ?nite sample distributions that persists for very large sample sizes although the limit theory is Gaussian. New self normalized versions are introduced that deliver improved approximations.

Keywords: Endogeneity; Limit theory; Local time; Nonlinear functional; Nonstationarity; Sample covariance; Zero energy (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2022-07
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d23/d2337.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:2337

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().