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Functional coefficient cointegration models with Box-Cox transformation

Lin, Yingqian; Tu, Yundong - In: Economics letters 234 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015065927

Estimation for double-nonlinear cointegration

Lin, Yingqian; Tu, Yundong; Yao, Qiwei - In: Journal of econometrics 216 (2020) 1, pp. 175-191

Persistent link: https://www.econbiz.de/10012439669

On transformed linear cointegration models

Lin, Yingqian; Tu, Yundong - In: Economics letters 198 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012605792

Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root

Lin, Yingqian; Tu, Yundong - In: Journal of econometrics 219 (2020) 1, pp. 52-65

Persistent link: https://www.econbiz.de/10012483188

Transformation models with cointegrated and deterministically trending regressors

Lin, Yingqian; Tu, Yundong - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 207-232). 2023

This chapter develops an asymptotic theory for a general transformation model with a time trend, stationary regressors, and unit root nonstationary regressors. This model extends that of Han (1987) to incorporate time trend and nonstationary regressors. When the transformation is specified as an...

Persistent link: https://www.econbiz.de/10014313678