Nonlinear error correction models

DOI10.1111/1467-9892.00276MaRDI QIDQ4677007zbMATH OpenOpenAlexFDO

Authors Alvaro Escribano, Santiago Mira

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/2568

zbMATH Keywords

cointegrationnear epoch dependencenonlinear error correction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Deciding between I(1) and I(0)
• Spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• 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?
• Understanding spurious regressions in econometrics

Cited in

(16)

• A non-linear error correction mechanism based on the bilinear model
• Summability of stochastic processes -- a generalization of integration for non-linear processes
• Stability results for nonlinear error correction models
• Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Estimation of nonlinear error correction models
• Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests
• MODELING MACROECONOMIC SUBAGGREGATES: AN APPLICATION OF NONLINEAR COINTEGRATION
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• scientific article; zbMATH DE number 4128260 (Why is no real title available?)
• scientific article; zbMATH DE number 1031883 (Why is no real title available?)
• NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Cointegration with occasionally binding constraints
• Nonparametric estimation in a nonlinear cointegration type model

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