Nonlinear econometric models with cointegrated and deterministically trending regressors

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

129 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/bb60de68525ce338e7491108591460ccc58e8aa8

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Citations in the corpus

Trending time-varying coefficient time series models with serially correlated errors (2007, background): “and Phillips (1999, 2002), Chang et al. (2001) , Kim (2001), Phillips (2001), Chang and Martinez-Chombo (2003), and the references therein.”
Index models with integrated time series (2003, methodology): “This can be shown as in Chang et al. (2001).”
COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE (2011, methodology): “Some additional remarks are in order: First, Chang et al. (2001) include predetermined stationary regressors in the model.”
Nonlinearity, Nonstationarity and Spurious Forecasts (2005, unknown): “Chang et al. (2001) considered nonlinear regression with separably additive regression functions.”
The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics? (2008, background): “recently been studied in Chang, Park and Phillips (2001) , Park and Phillips (1999) and Park”
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity (2010, background): “Lemma 2 shows that, as in the linear cointegration case (9), sample covariances of nonlinear functions and stationary processes have limits that also involve two bias terms that produce nonzero location effects in the limit distribution of {β̂j} in (2).”
Sectoral Technology and Structural Transformation (2015, unknown): “However, in our context the parameter estimates will be consistent if the error terms ν jit are white noise and the estimated autocorrelated error processes are stationary, that is, |ρ ji| < 1; see Chang et al. (2001) for further discussion.”
Testing for Unit Roots in Small Panels with Short-run and Long-run Cross-sectional Dependencies (2009, background): “The notable contributors in theoretical research on the subject include Levin, Lin and Chu (2002), Im, Pesaran and Shin (2003), Maddala and Wu (1999), Choi (2001) and Chang (2002, 2004).”
TESTS FOR NONLINEAR COINTEGRATION (2009, background): “j= K � 0 j�xt j +eKt; t = K + 2;K + 3;:::; ( 7 )”