{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,12]],"date-time":"2026-02-12T07:45:46Z","timestamp":1770882346317,"version":"3.50.1"},"reference-count":31,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2020,3,23]],"date-time":"2020-03-23T00:00:00Z","timestamp":1584921600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2021,2]]},"abstract":"<jats:p>This article studies the asymptotic properties of empirical nonparametric regressions that partially misspecify the relationships between nonstationary variables. In particular, we analyze nonparametric kernel regressions in which a potential nonlinear cointegrating regression is misspecified through the use of a proxy regressor in place of the true regressor. Such models occur in linear and nonlinear regressions where the regressor suffers from measurement error or where the true regressor is a latent or filtered variable as in mixed-data-sampling. The treatment allows for endogenous regressors as the latent variable and proxy variables that cointegrate asymptotically with the true latent variable, including correctly specified as well as misspecified systems, and is therefore intermediate between nonlinear nonparametric cointegrating regression and completely spurious nonparametric nonstationary regression. The results relate to recent work on dynamic misspecification in nonparametric nonstationary systems and the limit theory accommodates regressor variables with autoregressive roots that are local to unity and whose errors are driven by long memory and short memory innovations, thereby encompassing applications with a wide range of economic and financial time series. Some implications for forecasting under misspecification are also examined.<\/jats:p>","DOI":"10.1017\/s0266466620000122","type":"journal-article","created":{"date-parts":[[2020,3,23]],"date-time":"2020-03-23T05:00:39Z","timestamp":1584939639000},"page":"138-168","source":"Crossref","is-referenced-by-count":4,"title":["LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION"],"prefix":"10.1017","volume":"37","author":[{"given":"Qiying","family":"Wang","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Peter C.B.","family":"Phillips","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ioannis","family":"Kasparis","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2020,3,23]]},"reference":[{"key":"S0266466620000122_r6","doi-asserted-by":"crossref","first-page":"568","DOI":"10.1080\/07474938.2017.1307177","article-title":"The impact of integrated measurement errors on modelling long-run macroeconomic time series","volume":"36","author":"Duffy","year":"2017","journal-title":"Econometric Reviews"},{"key":"S0266466620000122_r25","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1017\/S0266466603191062","article-title":"Asymptotics for general fractionally integrated processes with applications to unit root tests","volume":"19","author":"Wang","year":"2003","journal-title":"Econometric Theory"},{"key":"S0266466620000122_r27","doi-asserted-by":"crossref","first-page":"1901","DOI":"10.3982\/ECTA7732","article-title":"Structural nonparametric cointegrating regression","volume":"77","author":"Wang","year":"2009b","journal-title":"Econometrica"},{"key":"S0266466620000122_r20","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/00779951003614057","article-title":"Two New Zealand pioneer econometricians","volume":"44","author":"Phillips","year":"2010","journal-title":"New Zealand Economic Papers"},{"key":"S0266466620000122_r10","doi-asserted-by":"crossref","DOI":"10.1142\/p591","volume-title":"Large Sample Inference for Long Memory Processes","author":"Giraitis","year":"2012"},{"key":"S0266466620000122_r22","doi-asserted-by":"crossref","first-page":"1046","DOI":"10.1017\/S0266466604206028","article-title":"Nonparametric regression in the presence of measurement error","volume":"20","author":"Schennach","year":"2004","journal-title":"Econometric Theory"},{"key":"S0266466620000122_r26","doi-asserted-by":"crossref","first-page":"710","DOI":"10.1017\/S0266466608090269","article-title":"Asymptotic theory for local time density estimation and nonparametric cointegrating regression","volume":"25","author":"Wang","year":"2009a","journal-title":"Econometric Theory"},{"key":"S0266466620000122_r15","unstructured":"Jeganathan, P. 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