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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| 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 |