COINTEGRATING SMOOTH TRANSITION REGRESSIONS

DOI10.1017/S0266466604202031MaRDI QIDQ5697608zbMATH OpenFDO

Authors

Publication date 18 October 2005

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

simulations

Mathematics Subject Classification ID

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)

Recommendations

• Estimating smooth structural change in cointegration models
• Testing linearity in cointegrating smooth transition regressions
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Canonical Cointegrating Regressions
• Regime-switching cointegration
• Cointegrating regressions with time heterogeneity
• Structural nonparametric cointegrating regression

Cited in

(22)

• A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
• Time-varying cointegration
• Regime-switching cointegration
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Using Smooth Transition Regressions to Model Risk Regimes
• Asymptotic theory for regressions with smoothly changing parameters
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• 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
• Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Estimation and test for quantile nonlinear cointegrating regression
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Null recurrent unit root processes
• Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries
• Model selection criteria for the leads-and-lags cointegrating regression
• Tests for nonlinear cointegration
• A note on nonlinear cointegration, misspecification, and bimodality
• Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL

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