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Limit Theorems for Nonlinear Cointegrating Regression
Hardcover
Series: Nonlinear Time Series and Chaos, Book 5
EconomicsGeneral ScienceProbability & Statistics
ISBN13: 9789814675628
Publisher: World Scientific Publishing Company
Published: Jul 17 2015
Pages: 272
Weight: 1.20
Height: 0.80 Width: 6.00 Depth: 9.10
Language: English
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.
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