Testing cointegration relationship in a semiparametric varying coefficient model

Author:

Gu Jingping,Liang Zhongwen

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference39 articles.

1. Laws of large numbers for dependent non-identically distributed random variables;Andrews;Econometric Theory,1988

2. Time-varying cointegration;Bierens;Econometric Theory,2010

3. Functional-coefficient fregression models for non-linear time series;Cai;Journal of the American Statistical Association,2000

4. Functional-coefficient models for nonstationary time series data;Cai;Journal of Econometrics,2009

5. Tests for nonlinear cointegration;Choi;Econometric Theory,2010

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