Likelihood-based inference for cointegration with nonlinear error-correction

DOI10.1016/j.jeconom.2010.03.010zbMath1431.62393OpenAlexW1984104609MaRDI QIDQ736558

Dennis Kristensen, Anders Rahbek

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (8)

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ Tail behavior of ACD models and consequences for likelihood-based estimation ⋮ Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Estimation of dynamic models with nonparametric simulated maximum likelihood ⋮ CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives

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