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Author:   Yoosoon Chang (Indiana University, USA) ,  Sokbae Lee (Columbia University, USA) ,  J. Isaac Miller (University of Missouri, USA)
Publisher:   Emerald Publishing Limited
Imprint:   Emerald Publishing Limited
Dimensions:   Width: 15.20cm , Height: 2.70cm , Length: 22.90cm
Weight:   0.698kg
ISBN:  

9781837532094

ISBN 10:   1837532095
Pages:   408
Publication Date:   24 April 2023
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Introduction; Yoosoon Chang, Sokbae Lee, and J. Isaac Miller Part I: Nonstationarity, Unit Roots, and Fractional Noise Chapter 1. Discrete Fourier Transforms of Fractional Processes with Econometric Applications; Peter C.B. Phillips Chapter 2. Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise; Xiaohu Wang, Weilin Xiao, and Jun Yu Chapter 3. Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root; Uwe Hassler and Mehdi Hosseinkouchack Chapter 4. A sequential Test for a Unit Root in Monitoring a p-th Order Autoregressive Process; Kohtaro Hitomi, Keiji Nagai, Yoshihiko Nishiyama, and Junfan Tao Part II: Nonlinearity Chapter 5. Functional-Coefficient Cointegrating Regression with Endogeneity; Han-Ying Liang, Yu Shen, and Qiying Wang Chapter 6. A Specification Test Based on Convolution-Type Distribution Function Estimates for Non-Linear Autoregressive Processes; Kun Ho Kim, Kira L. Koul, and Jiwoong Kim Chapter 7. Transformation Models with Cointegrated and Deterministically Trending Regressors; Yingqian Lin and Yundong Tu Chapter 8. Minimax Risk in Estimating Kink Threshold and Testing Continuity; Javier Hidalgo, Heejun Lee, Jungyoon Lee, and Myung Hwan Seo Part III: Inference and Prediction using Models with Trending Series Chapter 9. Semiparametric Independence Tests Between Two Infinite-Order Cointegrated series; Chafik Bouhaddioui, Jean-Marie Dufour, and Masaya Takano Chapter 10. Inference in Conditional Vector Error-Correction Models with a Small Signal-To-Noise Ratio; Nikolay Gospodinov, Alex Maynard, and Elena Pesavento Chapter 11. Some Extensions of Asymptotic F and t Theory in Nonstationary Regressions; Yixiao Sun Chapter 12. Non-Stationary Parametric Single-Index Predictive Models: Simulation and Empirical Studies; Ying Zhou, Hsein Kew, and Jiti Gao Chapter 13. Best Linear Prediction in Cointegrated Systems; Yun-Yeong Kim

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Author Information

Yoosoon Chang is Professor of Economics at Indiana University, USA, with a Ph.D. in Economics from Yale University. Professor Chang's current research interests include the application of various econometric time series, panel data, and machine learning models. Sokbae Lee is Professor of Economics at Columbia University, USA, with a PhD in Economics from the University of Iowa. Professor Lee’s current research focuses on theoretical and applied econometrics. J. Isaac Miller is Professor of Economics and Associate Chair of the Department of Economics at the University of Missouri, USA, with a PhD in Economics from Rice University. Professor Miller’s current research focuses on econometric time series and panel data models of energy and climate change.

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