Tests for nonlinear cointegration

DOI10.1017/S0266466609990065zbMATH Open1191.62147OpenAlexW2000570630MaRDI QIDQ3577698FDOQ3577698

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Publication date: 23 July 2010

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

Full work available at URL: https://doi.org/10.1017/s0266466609990065

Recommendations

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Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Threshold Cointegration
• Nonlinear Regressions with Integrated Time Series
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Index models with integrated time series
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Testing linearity in cointegrating smooth transition regressions
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Nonlinear Econometric Models with Deterministically Trending Variables
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION

Cited In (29)

• Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests
• Point optimal tests of the null hypothesis of cointegration
• A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
• A specification test for nonlinear nonstationary models
• The effect of linear time trends on the KPSS test for cointegration
• Title not available (Why is that?)
• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• MARTINGALE LIMIT THEOREM REVISITED AND NONLINEAR COINTEGRATING REGRESSION
• Nonlinear regressions with nonstationary time series
• Linear cointegration of nonlinear time series with an application to interest rate dynamics
• Nonparametric tests for unit roots and cointegration.
• Semi-nonparametric cointegration testing
• Testing cointegration relationship in a semiparametric varying coefficient model
• Partial parametric estimation for nonstationary nonlinear regressions
• Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries
• Nonlinear bivariate comovements of asset prices: methodology, tests and applications
• Durbin-Hausman tests for cointegration
• Bootstrap neural network cointegration tests against nonlinear alternative hypotheses
• Nonlinear Trends and Co-trending in Canadian Money Demand
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico
• ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS
• COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
• CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• Testing linearity in cointegrating relations with an application to purchasing power parity
• Nonparametric cointegrating regression with NNH errors
• Testing linearity in cointegrating smooth transition regressions

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