Likelihood-based inference for cointegration with nonlinear error-correction

DOI10.1016/J.JECONOM.2010.03.010MaRDI QIDQ736558zbMATH OpenOpenAlexFDO

Authors Dennis Kristensen, Anders Rahbek

Publication date 4 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.03.010

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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• Testing linearity in cointegrating smooth transition regressions
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Cited in

(18)

• On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
• Local Linear Estimation of a Nonparametric Cointegration Model
• Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• A note on Johansen's rank conditions and the Jordan form of a matrix
• Estimation of nonlinear error correction models
• A comment on: ``Autoregressive conditional duration: a new model for irregularly spaced transaction data
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Cumulated sum of squares statistics for nonlinear and nonstationary regressions
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
• Estimation of dynamic models with nonparametric simulated maximum likelihood
• Likelihood-based inference for cointegration with nonlinear error-correction
• Tail behavior of ACD models and consequences for likelihood-based estimation
• scientific article; zbMATH DE number 1865389 (Why is no real title available?)
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Cointegration with occasionally binding constraints
• Time-varying vector error-correction models: estimation and inference

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