Nonlinear error correction model and multiple-threshold cointegration

DOI10.5705/SS.2014.219TzbMATH Open1356.62157OpenAlexW2520759568MaRDI QIDQ2828610FDOQ2828610

Authors: Man Wang, Ngai Hang Chan, Chun Yip Yau 

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2014.219t

Recommendations

• Testing for two-regime threshold cointegration in vector error-correction models.
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zbMATH Keywords

convergence rateerror correction modelmultiple-threshold cointegrationsmoothed least squares estimatorsuper consistency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (6)

• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• Testing uncovered interest rate parity and term structure using multivariate threshold cointegration
• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• Estimation of nonlinear error correction models
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Testing for two-regime threshold cointegration in vector error-correction models.

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