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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

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

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

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Chang, Yoosoon; Park, Joon Y.; Phillips, Peter C. B. - 2001

This paper develops an asymptotic theory for a general class of nonlinear non-stationary 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...

Persistent link: https://www.econbiz.de/10014125966