New estimation and testing issues in nonlinear time series economics

This project proposes to tackle several very important and difficult issues in nonlinear time series econometrics with possible endogeneity and nonstationarity. This project seeks to establish some general asymptotic theory for model identification and estimation technologies that are suited to nonlinear time series data that may be stochastically nonstationary and endogeneous. The research outcomes of this project are expected to make significant contributions to the literature as well as to be applicable in testing and estimation of structural breaks in climatological, economic and financial time series with possible endogeneity and nonstationarity.