In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the...

This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system, and nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointe- gration studied by Balke and Fomby...

In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or I(1) processes. We show that this kind of nonlinearity in the regression function can...