Essays on stability, functional form and poolability of nonlinear cointegrating regressions
| dc.contributor.advisor | Wagner, Martin | |
| dc.contributor.author | Knorre, Fabian | |
| dc.contributor.referee | Linnemann, Ludger | |
| dc.date.accepted | 2025-05-12 | |
| dc.date.accessioned | 2025-06-18T06:02:14Z | |
| dc.date.available | 2025-06-18T06:02:14Z | |
| dc.date.issued | 2025 | |
| dc.description.abstract | This cumulative dissertation develops and examines cointegration regression techniques and their application to nonlinear cointegrating relationships between integrated time series, with a particular focus on the Environmental Kuznets Curve (EKC). The EKC hypothesis postulates an inverted U-shaped relationship between economic development and pollution. Chapter 1 introduces residual-based monitoring procedures for cointegrating polynomial regressions (CPRs) to detect and date structural changes, i.e. whether a relationship may turn into a spurious relationship or whether the parameters of the relationship change. CPRs capture nonlinear dynamics by incorporating integer powers of integrated regressors. Chapter 2 evaluates estimators for nonparametric cointegrating regressions and specification tests for nonlinear cointegrating relationships, comparing their performance through a large scale simulation study. Chapter 3 extends estimators for seemingly unrelated cointegrating polynomial regressions to accommodate common integrated regressors across equations. It provides limiting distributions for these estimators, along with Wald-type hypothesis tests, RESET-type specification tests, and methods for group-wise pooled estimation, enhancing flexibility and precision in modeling complex systems. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/43757 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-25531 | |
| dc.language.iso | en | |
| dc.subject | Nonlinear cointegration | en |
| dc.subject | Cointegrating polynomial regression | en |
| dc.subject | Environmental Kuznets curve | en |
| dc.subject.ddc | 310 | |
| dc.subject.rswk | Kuznets-Kurve | de |
| dc.subject.rswk | Polynomiale Regression | de |
| dc.subject.rswk | Kointegration | de |
| dc.title | Essays on stability, functional form and poolability of nonlinear cointegrating regressions | en |
| dc.type | Text | |
| dc.type.publicationtype | PhDThesis | |
| dcterms.accessRights | open access | |
| eldorado.secondarypublication | false |