Kasparis, Ioannis; Phillips, Peter C.B. - In: Journal of Econometrics 168 (2012) 2, pp. 270-284
Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya–Watson (NW) estimator for cointegrating regression under misspecified lag structure...