Gao, Jiti; Tjøstheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2012
This paper considers a general model specification between a parametric co-integrating model and a nonparametric co-integrating model in a multivariate regression model, which involves a univariate integrated time series regressor and a vector of stationary time series regressors. A new and...
