Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
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Publication:2851990
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)
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
Cites work
- scientific article; zbMATH DE number 3990600 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Asymptotics for linear processes
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Efficient Tests for an Autoregressive Unit Root
- Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Multivariate star analysis of money-output relationship
- Nonlinear Regressions with Integrated Time Series
- Nonlinear econometric models with cointegrated and deterministically trending regressors
- STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
- Stability results for nonlinear error correction models
- Stochastic Limit Theory
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
- Testing for a unit root in a stationary ESTAR process
- Testing for a unit root in the nonlinear STAR framework
- Testing for two-regime threshold cointegration in vector error-correction models.
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing linearity against smooth transition autoregressive models
- Testing linearity in cointegrating smooth transition regressions
- Testing the adequacy of smooth transition autoregressive models
- Threshold Autoregression with a Unit Root
- Threshold Cointegration
- Vector equilibrium correction models with non‐linear discontinuous adjustments
Cited in
(12)- Nonparametric testing for linearity in cointegrated error-correction models
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Tests for linearity in star models: SupWald and LM-type tests
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
- Detecting equilibrium correction with smoothly time-varying strength
- An alternative procedure to test for cointegration in STAR models
- Testing linearity in cointegrating smooth transition regressions
- Bootstrap testing for nonlinear adjustments in error-correction models of non-smooth transition vectors
- Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
- The power of unit root tests against nonlinear local alternatives
- Testing for cointegration in nonlinear asymmetric smooth transition error correction models
- A new nonlinear asymmetric cointegration approach using error correction models
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