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Asymptotics for nonlinear transformations of integrated time series

Park, Joon Y.; Phillips, Peter C. B. - In: Econometric theory 15 (1999) 3, pp. 269-298

Persistent link: https://www.econbiz.de/10001434300

Nonlinear regressions with integrated time series

Park, Joon Y.; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 1, pp. 117-161

Persistent link: https://www.econbiz.de/10001545098

Nonlinear econometric models with cointegrated and deterministically trending regressors

Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B. - In: The econometrics journal 4 (2001) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10001612277

Index models with integrated time series

Chang, Yoosoon; Park, Joon Y. - In: Journal of econometrics 114 (2003) 1, pp. 73-106

Persistent link: https://www.econbiz.de/10001738918

GARCH with omitted persistent covariate

Han, Heejoon; Park, Joon Y. - In: Economics letters 124 (2014) 2, pp. 248-254

Persistent link: https://www.econbiz.de/10010493650

Taking a new contour : a novel view on unit root test

Chang, Yoosoon (contributor); Park, Joon Y. (contributor) - 2004

Persistent link: https://www.econbiz.de/10003273657

Asymptotics for recurrent diffusions with application to high frequency regression

Kim, Jihyun; Park, Joon Y. - In: Journal of econometrics 196 (2017) 1, pp. 37-54

Persistent link: https://www.econbiz.de/10011743485

A reexamination of stock return predictability

Choi, Yongok; Jacewitz, Stefan; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 168-189

Persistent link: https://www.econbiz.de/10011617132

Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility

Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. - In: Journal of financial economics 115 (2015) 2, pp. 361-382

Persistent link: https://www.econbiz.de/10011347485

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B. - 2000

This paper develops an asymptotic theory for a general class of nonlinear ary regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating regressions. The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1)...

Persistent link: https://www.econbiz.de/10014164292