STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION

DOI10.1017/S0266466608080122MaRDI QIDQ3632379zbMATH OpenOpenAlexFDO

Authors Pentti Saikkonen

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608080122

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Asymptotic stability and generalized Gelfand spectral radius formula
• Computationally Efficient Approximations of the Joint Spectral Radius
• Computing the joint spectral radius
• Nonlinear error correction models
• Stability results for nonlinear error correction models
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• Threshold Cointegration
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Verifying irreducibility and continuity of a nonlinear time series

Cited in

(18)

• Learning about the across-regime correlation in switching regression models
• Multivariate specification tests based on a dynamic Rosenblatt transform
• Financial stress, regime switching and macrodynamics
• Stability results for nonlinear error correction models
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Estimation of nonlinear error correction models
• Switching Regression Models with Imperfect Sample Separation Information--With an Application on Cartel Stability
• Tests for nonlinear cointegration
• Stationarity and ergodicity of vector STAR models
• A New Class of Bivariate Threshold Cointegration Models
• Stability in threshold VAR models
• Cointegration with occasionally binding constraints
• A Gaussian smooth transition vector autoregressive model: an application to the macroeconomic effects of severe weather shocks
• A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models
• Identification by non-Gaussianity in structural smooth transition vector autoregressive models
• Likelihood-based inference for cointegration with nonlinear error-correction
• Dynamic properties of error correction models with a stochastic target series

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