ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS

DOI10.1017/S026646661000023XzbMath1210.62124MaRDI QIDQ3168869

Myung Hwan Seo

Publication date: 27 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62J02: General nonlinear regression

65C05: Monte Carlo methods

Related Items

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Some notes on nonlinear cointegration: A partial review with some novel perspectives, Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

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