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Non-linearity Induced Weak Instrumentation

Kasparis, Ioannis; Phillips, Peter C.B.; Magdalinos, Tassos - Cowles Foundation for Research in Economics, Yale University - 2012

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...

Persistent link: https://www.econbiz.de/10010817227

Non-linearity Induced Weak Instrumentation

Kasparis, Ioannis; Phillips, Peter C.B.; Magdalinos, Tassos - University of Cyprus Department of Economics - 2012

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...

Persistent link: https://www.econbiz.de/10009651936

Dynamic misspecification in nonparametric cointegrating regression

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 differs importantly from conventional linear cointegration which is invariant to time translation. When …

Persistent link: https://www.econbiz.de/10011052188

Dynamic Misspecification in Nonparametric Cointegrating Regression

Kasparis, Ioannis; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2009

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 requisite limit theory involves sample covariances of … linear cointegration which is invariant to time translation. When centred on the pseudo-function and appropriately scaled …

Persistent link: https://www.econbiz.de/10004998322

Dynamic Misspecification in Nonparametric Cointegrating Regression

Kasparis, Ioannis; Phillips, Peter C. B. - University of Cyprus Department of Economics - 2009

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 requisite limit theory involves sample covariances of … linear cointegration which is invariant to time translation. When centred on the pseudo-function and appropriately scaled …

Persistent link: https://www.econbiz.de/10005012698

Dynamic Misspecification in Nonparametric Cointegrating Regression

Phillips, Peter C.B.; Kasparis, Ioannis - School of Economics, Singapore Management University - 2009

Linear cointegration is known to have the important property of invariance un- der temporal translation. The same … property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … conventional linear cointegration which is invariant to time translation. When centred on the pseudo-function and ap- propriately …

Persistent link: https://www.econbiz.de/10010561671

Nonparametric LAD Cointegrating Regression

Honda, Toshio - Institute of Economic Research, Hitotsubashi University - 2011

We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and dependent variable can be …

Persistent link: https://www.econbiz.de/10009421783

Nonparametric LAD cointegrating regression

Honda, Toshio - In: Journal of Multivariate Analysis 117 (2013) C, pp. 150-162

We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and error term can be …

Persistent link: https://www.econbiz.de/10010665703

Nonlinear Regressions with Integrated Time Series

Park, Joon Y.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1998

effects from unit root time series and therefore deal with the case of parametric nonlinear cointegration. The theory covers …

Persistent link: https://www.econbiz.de/10005593237

Nonlinear Cointegrating Regression under Weak Identification

Shi, Xiaoxia; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2010

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In...

Persistent link: https://www.econbiz.de/10008548962