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We derive an asymptotic theory of nonparametric estimation for an nonlinear transfer function model Z(t) = f (Xt) + Wt where {Xt} and {Zt} are observed nonstationary processes and {Wt} is a stationary process. IN econometrics this can be interpreted as a nonlinear cointegration type...
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Modelling Nonlinear Economic Time Series by Timo Terasvirta, Dag Tj0stheim, and Clive W. J. Granger OXFORD UNIVERSITY PRESS Contents List of Figures ...
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