Likelihood-based inference for cointegration with nonlinear error-correction

DOI10.1016/J.JECONOM.2010.03.010zbMATH Open1431.62393OpenAlexW1984104609MaRDI QIDQ736558FDOQ736558

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.010

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Markov chains and stochastic stability
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
Testing for two-regime threshold cointegration in vector error-correction models.
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Threshold Cointegration
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SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
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NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
Asymptotics of the QMLE for Non-Linear ARCH Models
TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
Nonlinear estimation using estimated cointegrating relations
Likelihood-based inference for cointegration with nonlinear error-correction
Nonlinear mean reversion in the term structure of interest rates

Cited In (13)

STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
Vector equilibrium correction models with non‐linear discontinuous adjustments
Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
Estimation of dynamic models with nonparametric simulated maximum likelihood
ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS
Likelihood-based inference for cointegration with nonlinear error-correction
Tail behavior of ACD models and consequences for likelihood-based estimation
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TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS
Some notes on nonlinear cointegration: A partial review with some novel perspectives
On a measure of lack of fit in nonlinear cointegrating regression with endogeneity
Local Linear Estimation of a Nonparametric Cointegration Model

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