TESTS FOR NONLINEAR COINTEGRATION

DOI10.1017/S0266466609990065zbMath1191.62147OpenAlexW2000570630MaRDI QIDQ3577698

No author found.

Publication date: 23 July 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990065

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02) Monte Carlo methods (65C05)

Related Items (11)

Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico ⋮ ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS ⋮ MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION ⋮ COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE ⋮ A specification test for nonlinear nonstationary models ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS ⋮ Testing cointegration relationship in a semiparametric varying coefficient model ⋮ Partial parametric estimation for nonstationary nonlinear regressions ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS ⋮ Nonlinear regressions with nonstationary time series ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Subsampling vector autoregressive tests of linear constraints
• 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?
• Testing for two-regime threshold cointegration in vector error-correction models.
• Index models with integrated time series
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Testing linearity in cointegrating smooth transition regressions
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Testing For Unit Roots: 1
• Threshold Cointegration
• Stochastic Limit Theory
• Nonlinear Regressions with Integrated Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Nonlinear Econometric Models with Deterministically Trending Variables
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

This page was built for publication: TESTS FOR NONLINEAR COINTEGRATION