Vector equilibrium correction models with non‐linear discontinuous adjustments

DOI10.1111/j.1368-423X.2004.00147.xzbMath1114.91338OpenAlexW3124528837MaRDI QIDQ3023043

Frédérique Bec, Anders Rahbek

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.2004.00147.x

zbMATH Keywords

cointegrationterm structure

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items (22)

Unnamed Item ⋮ ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ Testing for cointegration in nonlinear asymmetric smooth transition error correction models ⋮ Oscillating systems with cointegrated phase processes ⋮ Instability in regime switching models ⋮ Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand ⋮ Stochastic model specification in Markov switching vector error correction models ⋮ UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ TESTS FOR NONLINEAR COINTEGRATION ⋮ TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS ⋮ Nonparametric estimation in a nonlinear cointegration type model ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ LIMITED TIME SERIES WITH A UNIT ROOT ⋮ STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Testing for co-integration and nonlinear adjustment in a smooth transition error correction model ⋮ Financial stress, regime switching and macrodynamics ⋮ Stationarity and ergodicity of vector STAR models ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives ⋮ Basket trading under co-integration with the logistic mixture autoregressive model ⋮ Stability results for nonlinear error correction models

Cites Work

• Adaptive consistent unit-root tests based on autoregressive threshold model
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nonlinear error correction models
• Unit root tests in three‐regime SETAR models
• Unnamed Item
• Unnamed Item

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