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

DOI10.1111/j.1467-9892.2011.00722.xzbMath1273.62212OpenAlexW1951663904MaRDI QIDQ2851990

Rehim Kiliç

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

zbMATH Keywords

nonlinearitycointegrationmonetary modelsmooth transition vector error correction

Mathematics Subject Classification ID

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

Related Items (4)

Testing for cointegration in nonlinear asymmetric smooth transition error correction models ⋮ 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

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