## 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.

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 Friday, March 21, 2014