NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY Article Swipe
Zhishui Hu
,
Peter C.B. Phillips
,
Qiying Wang
·
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.1017/s0266466620000560
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.1017/s0266466620000560
This paper develops an asymptotic theory for nonlinear cointegrating power function regression. The framework extends earlier work on the deterministic trend case and allows for both endogeneity and heteroskedasticity, which makes the models and inferential methods relevant to many empirical economic and financial applications, including predictive regression. A new test for linear cointegration against nonlinear departures is developed based on a simple linearized pseudo-model that is very convenient for practical implementation and has standard normal limit theory in the strictly exogenous regressor case. Accompanying the asymptotic theory of nonlinear regression, the paper establishes some new results on weak convergence to stochastic integrals that go beyond the usual semimartingale structure and considerably extend existing limit theory, complementing other recent findings on stochastic integral asymptotics. The paper also provides a general framework for extremum estimation limit theory that encompasses stochastically nonstationary time series and should be of wide applicability.
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- Type
- preprint
- Language
- en
- Landing Page
- https://doi.org/10.1017/s0266466620000560
- OA Status
- green
- Cited By
- 2
- References
- 32
- Related Works
- 20
- OpenAlex ID
- https://openalex.org/W2993983444
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Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W2993983444Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.1017/s0266466620000560Digital Object Identifier
- Title
-
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITYWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
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2021Year of publication
- Publication date
-
2021-01-26Full publication date if available
- Authors
-
Zhishui Hu, Peter C.B. Phillips, Qiying WangList of authors in order
- Landing page
-
https://doi.org/10.1017/s0266466620000560Publisher landing page
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://doi.org/10.2139/ssrn.3499034Direct OA link when available
- Concepts
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Endogeneity, Mathematics, Asymptotic analysis, Nonlinear system, Econometrics, Martingale (probability theory), Heteroscedasticity, Limit (mathematics), Applied mathematics, Economics, Mathematical analysis, Physics, Quantum mechanicsTop concepts (fields/topics) attached by OpenAlex
- Cited by
-
2Total citation count in OpenAlex
- Citations by year (recent)
-
2024: 1, 2020: 1Per-year citation counts (last 5 years)
- References (count)
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32Number of works referenced by this work
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20Other works algorithmically related by OpenAlex
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| abstract_inverted_index.limit | 75, 113, 133 |
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| abstract_inverted_index.paper | 1, 91, 124 |
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| abstract_inverted_index.theory | 5, 76, 86, 134 |
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| abstract_inverted_index.extends | 14 |
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| abstract_inverted_index.methods | 35 |
| abstract_inverted_index.results | 95 |
| abstract_inverted_index.theory, | 114 |
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| abstract_inverted_index.economic | 40 |
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| abstract_inverted_index.extremum | 131 |
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| abstract_inverted_index.integral | 121 |
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| abstract_inverted_index.strictly | 79 |
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| abstract_inverted_index.empirical | 39 |
| abstract_inverted_index.exogenous | 80 |
| abstract_inverted_index.financial | 42 |
| abstract_inverted_index.framework | 13, 129 |
| abstract_inverted_index.including | 44 |
| abstract_inverted_index.integrals | 101 |
| abstract_inverted_index.nonlinear | 7, 54, 88 |
| abstract_inverted_index.practical | 69 |
| abstract_inverted_index.regressor | 81 |
| abstract_inverted_index.structure | 108 |
| abstract_inverted_index.asymptotic | 4, 85 |
| abstract_inverted_index.convenient | 67 |
| abstract_inverted_index.departures | 55 |
| abstract_inverted_index.estimation | 132 |
| abstract_inverted_index.linearized | 62 |
| abstract_inverted_index.predictive | 45 |
| abstract_inverted_index.stochastic | 100, 120 |
| abstract_inverted_index.convergence | 98 |
| abstract_inverted_index.encompasses | 136 |
| abstract_inverted_index.endogeneity | 26 |
| abstract_inverted_index.establishes | 92 |
| abstract_inverted_index.inferential | 34 |
| abstract_inverted_index.regression, | 89 |
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| abstract_inverted_index.Accompanying | 83 |
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| abstract_inverted_index.considerably | 110 |
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| abstract_inverted_index.applications, | 43 |
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| abstract_inverted_index.semimartingale | 107 |
| abstract_inverted_index.stochastically | 137 |
| abstract_inverted_index.heteroskedasticity, | 28 |
| cited_by_percentile_year.max | 94 |
| cited_by_percentile_year.min | 89 |
| countries_distinct_count | 0 |
| institutions_distinct_count | 3 |
| sustainable_development_goals[0].id | https://metadata.un.org/sdg/8 |
| sustainable_development_goals[0].score | 0.44999998807907104 |
| sustainable_development_goals[0].display_name | Decent work and economic growth |
| citation_normalized_percentile.value | 0.60578127 |
| citation_normalized_percentile.is_in_top_1_percent | False |
| citation_normalized_percentile.is_in_top_10_percent | False |