Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics

DOI10.2202/1558-3708.1468zbMath1193.91177MaRDI QIDQ3574714

Travis D. Nesmith, Barry E. Jones

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2007/200703/200703pap.pdf

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

Cites Work

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• Nonlinear interest rate dynamics and implications for the terms structure
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• Spurious nonlinear regressions in econometrics
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• Linearity tests and stationarity
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• Co-Integration and Error Correction: Representation, Estimation, and Testing
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• Testing stationarity and trend stationarity against the unit root hypothesis
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models