Semiparametric estimation in triangular system equations with nonstationarity

Journal of Econometrics

Volumn 176, Issue 1, 2013, Pages 59-79

  Gao, Jiti ^a,b   Phillips, Peter C B ^c,d,e,f  

^a UNIVERSITY OF ADELAIDE   (Australia)

^b MONASH UNIVERSITY   (Australia)

^c YALE UNIVERSITY   (United States)

^d UNIVERSITY OF AUCKLAND   (New Zealand)

^e UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^f SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Endogeneity; Integrated process; Nonstationarity; Partial linear model; Simultaneity; Vector semiparametric regression

Indexed keywords

NORMAL DISTRIBUTION; TIME SERIES;

ENDOGENEITY; INTEGRATED PROCESS; NON-STATIONARITIES; PARTIAL LINEAR MODELS; SEMI-PARAMETRIC REGRESSIONS; SIMULTANEITY;

ESTIMATION;

EID: 84878581242     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.04.018     Document Type: Article

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