Testing for cointegration in nonlinear asymmetric smooth transition error correction models

DOI10.1080/03610918.2018.1559927MaRDI QIDQ5083990zbMATH OpenOpenAlexFDO

Authors Aycan Hepsag

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2018.1559927

zbMATH Keywords

cointegrationnonlinearityasymmetric ESTAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
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• Testing for cointegration in Markov switching error correction models
• Testing linearity in cointegrating smooth transition regressions
• Nonlinear error correction based cointegration test in panel data
• Direct cointegration testing in error correction models

Cites work

• An alternative procedure to test for cointegration in STAR models
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nonlinear Regressions with Integrated Time Series
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Testing for two-regime threshold cointegration in vector error-correction models.
• Threshold Cointegration
• Vector equilibrium correction models with non‐linear discontinuous adjustments

Cited in

(10)

• Asymmetric adjustment and bias in estimation of an equilibrium relationship from a cointegrating regression
• A threshold cointegration test with increased power
• An alternative procedure to test for cointegration in STAR models
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Testing for cointegration in Markov switching error correction models
• Testing for smooth transition nonlinearity in partially nonstationary vector autoregressions
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• A new nonlinear asymmetric cointegration approach using error correction models
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Tests for asymmetry in possibly nonstationary dynamic panel models

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