Testing linearity in cointegrating smooth transition regressions
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Publication:3023026
DOI10.1111/j.1368-423X.2004.00134.xzbMath1064.62096OpenAlexW2115070244MaRDI QIDQ3023026
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Publication date: 4 July 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00134.x
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) Parametric hypothesis testing (62F03)
Related Items (14)
A Note on Nonlinear Cointegration, Misspecification, and Bimodality ⋮ Functional cointegration: definition and nonparametric estimation ⋮ A specification test for nonlinear nonstationary models ⋮ Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH NNH ERRORS ⋮ Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries ⋮ TESTS FOR NONLINEAR COINTEGRATION ⋮ TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Moment-based estimation of smooth transition regression models with endogenous variables ⋮ A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Testing for co-integration and nonlinear adjustment in a smooth transition error correction model ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives
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