Limit Theorems for Nonlinear Cointegrating Regression

This book provides the limit theorems that can be used in the development of nonlinear cointegrating regression. The topics include weak convergence to a local time process, weak convergence to a mixture of normal distributions and weak convergence to stochastic integrals. This book also investigates estimation and inference theory in nonlinear cointegrating regression. The core context of this book comes from the author and his collaborator's current researches in past years, which is wide enough to cover the knowledge bases in nonlinear cointegrating regression. It may be used as a main reference book for future researchers.

Author: Qiying Wang

Publisher: Nonlinear Time Series & Chaos

Publication Date: Aug 25, 2015

Number of Pages: 261 pages

Language: English

Binding: Hardcover

ISBN-10: 9814675628

ISBN-13: 9789814675628