A note on nonlinear cointegration, misspecification, and bimodality
DOI10.1080/07474938.2012.690676zbMATH Open1491.62115OpenAlexW2055462585MaRDI QIDQ5080465FDOQ5080465
Authors: Marcelo C. Medeiros, Eduardo F. Mendes, Les Oxley 
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://repec.canterbury.ac.nz/cbt/econwp/1001.pdf
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Cites Work
- Title not available (Why is that?)
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Functional-coefficient cointegration models
- Testing linearity in cointegrating smooth transition regressions
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Endogeneity in nonlinear regressions with integrated time series
- Heteroskedastic cointegration
Cited In (4)
- Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
- Dynamic misspecification in nonparametric cointegrating regression
- The failure of orthogonality under nonstationarity: should we care about it?
- Functional form misspecification in regressions with a unit root
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