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Specification testing for nonlinear multivariate cointegrating regressions
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References

  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 2001Nonlinear Regressions with Integrated Time Series426 cited
  • 2009Structural Nonparametric Cointegrating Regression217 cited
  • 2001Nonlinear econometric models with cointegrated and deterministically trending regressors122 cited
  • 2009Functional-coefficient cointegration models106 cited
  • 1981Interest Rates, Inflation, and the Aggregate Consumption Function81 cited
  • 1999Consumption Adjustment under Time-Varying Income Uncertainty79 cited
  • 1998Time‐varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis57 cited
  • 2011NULL RECURRENT UNIT ROOT PROCESSES55 cited
  • 2009Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity55 cited
  • 2007Nonlinearity, nonstationarity, and spurious forecasts46 cited
  • 2014Nonparametric predictive regression45 cited
  • 2014NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY39 cited
  • 2015Limit Theorems for Nonlinear Cointegrating Regression36 cited

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  • 2008DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS34 cited
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