Cointegration with occasionally binding constraints
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Cites work
- A New Class of Bivariate Threshold Cointegration Models
- A specification test for nonlinear nonstationary models
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Cumulated sum of squares statistics for nonlinear and nonstationary regressions
- Dynamic Censored Regression and the Open Market Desk Reaction Function
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Estimation in nonlinear regression with Harris recurrent Markov chains
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Estimation of nonlinear error correction models
- Functional-coefficient cointegration models
- Granger's representation theorem: A closed‐form expression for I(1) processes
- scientific article; zbMATH DE number 3837235 (Why is no real title available?)
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- Identification at the zero lower bound
- Likelihood-based inference for cointegration with nonlinear error-correction
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- LIMITED TIME SERIES WITH A UNIT ROOT
- Low-frequency robust cointegration testing
- Model checks for nonlinear cointegrating regression
- Nonlinear error correction models
- Nonlinear Regressions with Integrated Time Series
- Nonlinear regressions with nonstationary time series
- Nonparametric cointegrating regression with endogeneity and long memory
- Nonparametric estimation in a nonlinear cointegration type model
- On non-stationary threshold autoregressive models
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Specification testing for nonlinear multivariate cointegrating regressions
- Stability of nonlinear AR-GARCH models
- STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
- Stability results for nonlinear error correction models
- Structural nonparametric cointegrating regression
- Summability of stochastic processes -- a generalization of integration for non-linear processes
- SVARs with occasionally-binding constraints
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Testing for two-regime threshold cointegration in vector error-correction models.
- The Local to Unity Dynamic Tobit Model
- The optimal inflation rate in New Keynesian models: should central banks raise their inflation targets in light of the zero lower bound?
- Threshold Cointegration
- Time Series Approach to the Evolution of Networks: Prediction and Estimation
- Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
- Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
- When bias contributes to variance: true limit theory in functional coefficient cointegrating regression
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