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A specification test for nonlinear nonstationary models
12 references·4 citing·43 second hop
A specification test for nonlinear nonstationary models (2012)A specification test for nonlinear nonsta…TESTS FOR NONLINEAR COINTEGRATION (2009)TESTS FOR NONLINEAR COINTEGRA…Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity (2009)Testing Linearity in Cointegr…Structural Nonparametric Cointegrating Regression (2009)Structural Nonparametric Coin…Nonlinearity, nonstationarity, and spurious forecasts (2007)Nonlinearity, nonstationarity…A simple approach to the parametric estimation of potentially nonstationary diffusions (2006)A simple approach to the para…FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES (2005)FURTHER RESULTS ON THE ASYMPT…Testing linearity in cointegrating smooth transition regressions (2004)Testing linearity in cointegr…Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…Nonlinear Regressions with Integrated Time Series (2001)Nonlinear Regressions with In…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Regression Theory for Near-Integrated Time Series (1988)Regression Theory for Near-In…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …On change-points tests based on two-samples U-Statistics for weakly dependent observations (2021)On change-points tests based …Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects (2017)Estimation and Inference in F…Speculative bubbles, financial crises and convergence in global real estate investment trusts (2015)Speculative bubbles, financia…Specification Testing in Structural Nonparametric Cointegration (2014)Specification Testing in Stru…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)The Role of Energy in the Industrial Revolution and Modern Economic Growth (2012)The nonlinear impacts of industrial structure on China's energy intensity (2014)Tourism, economic growth, and tourism-induced EKC hypothesis: evidence from the Mediterranean region (2019)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Linear or nonlinear cointegration in the purchasing power parity relationship? (2009)The Econometrics of Financial Markets (2012)The purchasing power parity and exchange‐rate economics half a century on (2022)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a unit root in panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)Efficient tests of stock return predictability☆ (2006)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil (2008)Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model (2015)On the functional estimation of jump–diffusion models (2003)Stochastic Differential Equations (2003)Brownian Motion and Stochastic Calculus (2007)NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)Testing conditional factor models (2012)Understanding spurious regressions in econometrics (1986)Time Series Regression with a Unit Root (1987)Optimal Inference in Cointegrated Systems (1991)Nonlinear IV unit root tests in panels with cross-sectional dependency (2002)The carbon Kuznets curve: A cloudy picture emitted by bad econometrics? (2007)Sovereign bond yield spreads: A time-varying coefficient approach (2011)Spatial Econometrics: Methods and Models (1988)Spatial Econometrics: Methods and Models (1989)A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model (1999)The effect of exports on labour share: A semiparametric approach using Chinese manufacturing panel data (2021)Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates (2014)Nonparametric predictive regression (2014)Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression (2015)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Debt, deficits, and inflation: An application to the public finances of India (1992)Robust Bond Risk Premia (2017)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 2001Nonlinear Regressions with Integrated Time Series426 cited
  • 1988Regression Theory for Near-Integrated Time Series366 cited
  • 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
  • 2009Structural Nonparametric Cointegrating Regression217 cited
  • 2004Testing linearity in cointegrating smooth transition regressions116 cited
  • 2009TESTS FOR NONLINEAR COINTEGRATION91 cited
  • 2009Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity55 cited
  • 2006A simple approach to the parametric estimation of potentially nonstationary diffusions53 cited
  • 2007Nonlinearity, nonstationarity, and spurious forecasts46 cited
  • 2005FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES33 cited

Cited by

  • 2017Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects57 cited
  • 2015Speculative bubbles, financial crises and convergence in global real estate investment trusts19 cited
  • 2014

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Specification Testing in Structural Nonparametric Cointegration
10 cited
  • 2021On change-points tests based on two-samples U-Statistics for weakly dependent observations8 cited