Stability results for nonlinear error correction models

DOI10.1016/j.jeconom.2004.03.001zbMath1335.62145OpenAlexW2090148391MaRDI QIDQ262797

Pentti Saikkonen

Publication date: 30 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.03.001

zbMATH Keywords

mixingcointegrationstationaritynonstationaritynonlinear error correction

Mathematics Subject Classification ID

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

Related Items (15)

Residual autocorrelation testing for vector error correction models ⋮ ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ NULL RECURRENT UNIT ROOT PROCESSES ⋮ Instability in regime switching models ⋮ Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand ⋮ TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION ⋮ Records Properties of Non Stationary Time Series ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Unit root tests in three‐regime SETAR models ⋮ Testing for co-integration and nonlinear adjustment in a smooth transition error correction model ⋮ Financial stress, regime switching and macrodynamics ⋮ Stationarity and ergodicity of vector STAR models ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Verifying irreducibility and continuity of a nonlinear time series
• Mixing: Properties and examples
• Testing for two-regime threshold cointegration in vector error-correction models.
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• On a logistic mixture autoregressive model
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Threshold Cointegration
• Nonlinear error correction models

This page was built for publication: Stability results for nonlinear error correction models