Stability results for nonlinear error correction models

DOI10.1016/j.jeconom.2004.03.001zbMath1335.62145MaRDI 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

mixing; cointegration; stationarity; nonstationarity; nonlinear error correction

Mathematics Subject Classification ID

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

Related Items

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

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