Gao, Jiti; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013
This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in … nonlinear functionals of nonstationary and stationary time series that are of wider interest and applicability and subsume much …. An empirical illustration examines nonlinear dependencies in aggregate consumption function behavior in the US over the …