TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
From MaRDI portal
Publication:5438204
DOI10.1017/S0266466606060129zbMath1127.62081MaRDI QIDQ5438204
Yongcheol Shin, Andy Snell, George Kapetanios
Publication date: 23 January 2008
Published in: Econometric Theory (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F03: Parametric hypothesis testing
65C05: Monte Carlo methods
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