Testing for co-integration and nonlinear adjustment in a smooth transition error correction model

DOI10.1111/J.1467-9892.2011.00722.XzbMATH Open1273.62212OpenAlexW1951663904MaRDI QIDQ2851990FDOQ2851990

Rehim Kılıç

Publication date: 4 October 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00722.x

Recommendations

• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• Bootstrap testing for nonlinear adjustments in error-correction models of non-smooth transition vectors
• Testing linearity in cointegrating smooth transition regressions
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

zbMATH Keywords

cointegrationnonlinearitymonetary modelsmooth transition vector error correction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Non-Markovian processes: hypothesis testing (62M07) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• Stochastic Limit Theory
• Asymptotics for linear processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Title not available (Why is that?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Testing the adequacy of smooth transition autoregressive models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing linearity against smooth transition autoregressive models
• Testing for two-regime threshold cointegration in vector error-correction models.
• Stability results for nonlinear error correction models
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Threshold Cointegration
• Nonlinear Regressions with Integrated Time Series
• Efficient Tests for an Autoregressive Unit Root
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Threshold Autoregression with a Unit Root
• Testing for a unit root in the nonlinear STAR framework
• Testing linearity in cointegrating smooth transition regressions
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
• Multivariate star analysis of money-output relationship
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Testing for a unit root in a stationary ESTAR process
• Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations

Cited In (6)

• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• Detecting equilibrium correction with smoothly time-varying strength
• Tests for linearity in star models: SupWald and LM-type tests
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• The power of unit root tests against nonlinear local alternatives
• Testing linearity in cointegrating smooth transition regressions

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