A modified Breitung variance ratio test for the number of common trends in cointegrated nonlinear CKSVAR models, supported by a new LLN result for stable nonstationary autoregressive processes via dual linear process approximation.
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Inference on Common Trends in a Cointegrated Nonlinear SVAR
A modified Breitung variance ratio test for the number of common trends in cointegrated nonlinear CKSVAR models, supported by a new LLN result for stable nonstationary autoregressive processes via dual linear process approximation.