TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS

DOI10.1017/S0266466606060129zbMath1127.62081OpenAlexW2125976648MaRDI QIDQ5438204

Yongcheol Shin, Andy Snell, George Kapetanios

Publication date: 23 January 2008

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

Full work available at URL: https://doi.org/10.1017/s0266466606060129

zbMATH Keywords

tablesasset pricing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (18)

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES ⋮ Testing for cointegration in nonlinear asymmetric smooth transition error correction models ⋮ Forecasting in nonlinear univariate time series using penalized splines ⋮ Are US real house prices stationary? New evidence from univariate and panel data ⋮ Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests ⋮ Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations ⋮ An alternative procedure to test for cointegration in STAR models ⋮ Nonlinear error correction based cointegration test in panel data ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA ⋮ Testing for co-integration and nonlinear adjustment in a smooth transition error correction model ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives

Cites Work

• Stability results for nonlinear error correction models
• Testing for two-regime threshold cointegration in vector error-correction models.
• Testing for a unit root in the nonlinear STAR framework
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• Testing linearity in cointegrating smooth transition regressions
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Asymptotic Properties of Residual Based Tests for Cointegration
• Continuous Auctions and Insider Trading
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• Smart Money, Noise Trading and Stock Price Behaviour
• Threshold Cointegration
• Nonlinear Regressions with Integrated Time Series
• Threshold Autoregression with a Unit Root
• Nonlinear error correction models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS

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