Likelihood-based inference for cointegration with nonlinear error-correction
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- scientific article; zbMATH DE number 1865389
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Cites work
- scientific article; zbMATH DE number 3703310 (Why is no real title available?)
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
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- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Asymptotic Statistics
- Asymptotics of the QMLE for Non-Linear ARCH Models
- Bootstrap testing for the null of no cointegration in a threshold vector error correction model
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Index models with integrated time series
- Likelihood-based inference for cointegration with nonlinear error-correction
- Markov chains and stochastic stability
- Mixed normality and ancillarity in \(I(2)\) systems
- NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
- Nonlinear Regressions with Integrated Time Series
- Nonlinear estimation using estimated cointegrating relations
- Nonlinear mean reversion in the term structure of interest rates
- Nonlinear minimization estimators in the presence of cointegrating relations.
- Nonparametric estimation in a nonlinear cointegration type model
- On the law of large numbers for (geometrically) ergodic Markov chains
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
- Stability results for nonlinear error correction models
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
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- Testing linearity in cointegrating smooth transition regressions
- Threshold Cointegration
- Vector equilibrium correction models with non‐linear discontinuous adjustments
Cited in
(14)- scientific article; zbMATH DE number 1865389 (Why is no real title available?)
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Likelihood-based inference for cointegration with nonlinear error-correction
- Estimation of nonlinear error correction models
- STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
- On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
- Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
- Local Linear Estimation of a Nonparametric Cointegration Model
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Vector equilibrium correction models with non‐linear discontinuous adjustments
- Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
- Cumulated sum of squares statistics for nonlinear and nonstationary regressions
- Tail behavior of ACD models and consequences for likelihood-based estimation
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