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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

Nonlinear instrumental variable estimation of an autoregression

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

Persistent link: https://www.econbiz.de/10001618853

Nonlinear instrumental variable estimation of an autoregression

Phillips, Peter C. B.; Park, Joon Y.; Chang, Yoosoon - In: Journal of econometrics 118 (2004) 1/2, pp. 219-246

Persistent link: https://www.econbiz.de/10001823127

On the asymptotics of ADF tests for unit roots

Chang, Yoosoon; Park, Joon Y. - In: Econometric reviews 21 (2002) 4, pp. 431-447

Persistent link: https://www.econbiz.de/10001718224

Understanding Regressions with Observations Collected at High Frequency over Long Span

Chang, Yoosoon - 2019

In this paper, we analyze regressions with observations collected at small time intervals over a long period of time. For the formal asymptotic analysis, we assume that samples are obtained from continuous time stochastic processes, and let the sampling interval δ shrink down to zero and the...

Persistent link: https://www.econbiz.de/10012892708