Supplement to "Nonlinear regressions with nonstationary time series"

Nigel Chan and Qiying Wang

Abstract

This supplement gives the proofs of Lemmas 8.3, 8.6–8.7 (see Section 9), the proofs of Theorems 2.5, 4.1–4.3 (see Section 10), a unit root testing for empirical data (Section 11) and additional simulation results (see Section 12) in the official publication. Results (formulae) cited are along the lines of the official publication.