Non-linear cointegrating regression with endogeneity

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This project aims to develop the asymptotic theory of estimation and statistical inference in models concerned with non-linear co-integrating regression with endogeneity and long memory. This project will tackle a number of long-standing technical problems related to non-linear covariance functionals and non-linear transformation of nonstationary time series. This project is intended to provide technical tools for practitioners to study the long-run relationship of economic variables, and could apply to a range of statistical, empirical finance and economic models, enhancing national leadership in these areas.