Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics (Q3574714): Difference between revisions

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+W2149015335
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+Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
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+Linearity tests and stationarity
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+Nonparametric cointegration analysis
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+Testing stationarity and trend stationarity against the unit root hypothesis
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+Spurious nonlinear regressions in econometrics
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+Nonlinear interest rate dynamics and implications for the terms structure
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+On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
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+Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
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+TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
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+Vector equilibrium correction models with non‐linear discontinuous adjustments
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+Threshold Cointegration
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+Efficient Tests for an Autoregressive Unit Root
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+Testing linearity against smooth transition autoregressive models
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+Nonparametric tests for unit roots and cointegration.
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