Nonlinear Cointegrating Regression under Weak Identification

Nonlinear Cointegrating Regression under Weak Identification

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In that...

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Bibliographic Details
Main Authors: SHI, Xiaoxia, PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Integrated process
Local time
Nonlinear regression
Uniform weak convergence
Weak identification
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/1825
https://ink.library.smu.edu.sg/context/soe_research/article/2824/viewcontent/NonlinearCointegratingRegressionWeakIdentification_2012.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1825
https://ink.library.smu.edu.sg/context/soe_research/article/2824/viewcontent/NonlinearCointegratingRegressionWeakIdentification_2012.pdf

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