COINTEGRATING SMOOTH TRANSITION REGRESSIONS
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Publication:5697608
DOI10.1017/S0266466604202031zbMATH Open1072.62080MaRDI QIDQ5697608FDOQ5697608
Authors:
Publication date: 18 October 2005
Published in: Econometric Theory (Search for Journal in Brave)
Recommendations
- Estimating smooth structural change in cointegration models
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- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
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- Canonical Cointegrating Regressions
- Regime-switching cointegration
- Cointegrating regressions with time heterogeneity
- Structural nonparametric cointegrating regression
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (22)
- Regime-switching cointegration
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- A note on nonlinear cointegration, misspecification, and bimodality
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
- Tests for nonlinear cointegration
- Using Smooth Transition Regressions to Model Risk Regimes
- Likelihood-based inference for cointegration with nonlinear error-correction
- Bayesian inference in a time varying cointegration model
- Moment-based estimation of smooth transition regression models with endogenous variables
- Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries
- A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Estimation and test for quantile nonlinear cointegrating regression
- Time-varying cointegration
- DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
- Asymptotic theory for regressions with smoothly changing parameters
- Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico
- Null recurrent unit root processes
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Model selection criteria for the leads-and-lags cointegrating regression
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