Cumulated sum of squares statistics for nonlinear and nonstationary regressions
We show that the cumulated sum of squares statistic has a standard Brownian bridge–type asymptotic distribution in nonlinear regression models with (possibly) nonstationary regressors. This contrasts with cumulated sum statistics which have been previously studied and whose asymptotic distribution h...
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| Format: | Journal article |
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Cambridge University Press
2019
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