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V. Corradi , N.R. Swanson , & H. White (2000) Testing for stationarity-ergodicity and comovement between nonlinear discrete time Markov processes. Journal of Econometrics 96, 39–73.
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J.Y. Park & P.C.B. Phillips (1999) Asymptotics for nonlinear transformations of integrated time series. Econometric Theory 15, 269–298.
J.Y. Park & P.C.B. Phillips (2001) Nonlinear regressions with integrated time series. Econometrica 69, 117–161.
P.C.B. Phillips & B.E. Hansen (1990) Statistical inference in instrumental variables regressions with I(1) processes. Review of Economic Studies 53, 473–496.
P.C.B. Phillips & V. Solo (1992) Asymptotics for linear processes. Annals of Statistics 20, 971–1001.
B.M. Pötscher (2004) Nonlinear functions and convergence to Brownian motion: Beyond the continuous mapping theorem. Econometric Theory 20, 1–22.
D. Sul , P.C.B. Phillips , & C.-Y. Choi (2005) Prewhitening bias in HAC estimation. Oxford Bulletin of Economics and Statistics 67, 517–546.
T. Teräsvirta & A. Eliasson (2001) Nonlinear error correction model and the UK demand for broad money. Journal of Applied Econometrics 16, 277–288.
Z. Xiao & P.C.B. Phillips (2002) A CUSUM test for cointegration using regression residuals. Journal of Econometrics 108, 43–61.