Nonlinear error correction model and multiple-threshold cointegration

DOI10.5705/SS.2014.219TMaRDI QIDQ2828610zbMATH OpenOpenAlexFDO

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

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)

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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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