A system of vector semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are strictly exogenous and represent...

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...

A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly...

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coefficient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...