Structural Nonparametric Cointegrating Regression

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COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE (2011, methodology): “Clearly it is a special case of a nonlinear cointegrating relationship as considered in the literature (for recent examples see e.g. Karlsen, Myklebust, and Tjostheim, 2007; Wang and Phillips, 2009) where typically any relationship of the form yt = f(xt, θ) + ut, with xt an integrated process, ut st”
NONPARAMETRIC IDENTIFICATION USING INSTRUMENTAL VARIABLES: SUFFICIENT CONDITIONS FOR COMPLETENESS (2011, background): “In the nonstationary dependent case, identification can be achieved because of the nonstationary nature of the regressor, which can act as its own instrument (see Wang and Phillips (2009), Wang and Phillips (2016), and Wang and Phillips (2007)).”
ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS (2010, methodology): “It follows from (3.8) of Wang and Phillips (2009b) that (nh2)1/4 2n →D σu N L−1/2W (1,0) .”
Estimation for single-index and partially linear single-index integrated models (2016, methodology): “…is a particular H -regular function while an integrable function belongs to I -regular functions, studied by Park and Phillips (1999, 2001), Wang and Phillips (2009a), in a third stage we extend model (1.1) using a known H -regular function to substitute the linear function, in order to…”