Nonlinear Regressions with Integrated Time Series

By Joon Y. Park, Peter C. B. Phillips. 2001

417 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3a749b560e572e72678d278daee871505169d1c7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Nonlinearity, Nonstationarity and Spurious Forecasts (2005, background): “…in : For R1n( ); write R1n( ) = n 1=2 n 1=2 P[nr] t=1 (f (zt 1) g (zt 1; )) 2 : Then, Assumptions 2.3 and 4.5, uniform convergence in Theorem 3.2 of Park and Phillips (2001) and the CMT imply that sup 2 jR1n( )j = op(1): In a similar way, one can show 32 Electronic copy available at:…”
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS (2008, neutral): “…applications in regression asymptotics for processes with autoregressive roots at or near unity ~Phillips, 1987a, 1987b; Phillips and Perron, 1988; Park and Phillips, 1999, 2001; Phillips and Magdalinos, 2007; and references therein!+ Recent attention ~Park and Phillips, 1999, 2001; de Jong,…”
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION (2009, neutral): “Phillips (2001) gave examples of hazard rate analyses for inflation series, and Hu and Phillips (2004) analyzed federal”
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions (2005, neutral): “The only difference is that we replace integrals with respect to probability measures with spatial integrals, i.e., integrals defined with respect to local time (see, e.g., Park and Phillips, 1999, 2001 for discussions in the context of unit-root models for discrete time series).”
Nonparametric estimation in a nonlinear cointegration type model (2007, methodology): “For the estimation of nonlinear parametric regression functions using local time arguments, see [25].”
On the Panel Unit Root Tests Using Nonlinear Instrumental Variables (2003, background): “Park and Phillips (1999, 2001) showed that for each i, tNIV,i approaches to standard normal distribution under the null hypothesis as T →∞.”
Index models with integrated time series (2003, methodology): “Deÿne M n (r) = √ n t−1 i=1 T n √ nV n i n U ni n − U n; i−1 n + √ nT n √ nV n t n U (r) − U n; t−1 n for n; t−1 =n ¡ r 6 nt =n, where nt , t = 1; : : : ; n, are the stopping times introduced in Lemma 2.1 of Park and Phillips (2001).”
Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency (2002, methodology): “Our theory relies heavily on the local time of Brownian motion as in Park and Phillips (1999, 2001), Chang and Park (1999) and Chang et al. (2001).”
ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, neutral): “It depends crucially on the shape of the nonlinear transformation of the error correction term when the variable takes large values, see Park and Phillips (2001) : Condition (c) identi…es the shape, which is piece-wise linear in large values of the error correction terms.”
Specification testing in nonlinear and nonstationary time series autoregression (2009, background): “1 include Phillips and Park (1998) and Karlsen and Tjøstheim (1998, 2001) on nonparametric autoregression, Park and Phillips (2001) on parametric nonlinear regression, Bandi and Phillips (2003) on nonparametric estimation of nonstationary diffusion models, Wang and Phillips (2009) on nonparametric…”
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2007, positive): “Remark 4 Due to the the R¶enyi representation theorem, the OLS log-log rank-size approach to the inference on the tail index in model (1.3) is similar to the problem of statistical inference in a regression with integrated regressors (see Park and Phillips, 1999, 2001; Ibragimov and Phillips, 2004”