Vector equilibrium correction models with non‐linear discontinuous adjustments

DOI10.1111/J.1368-423X.2004.00147.XMaRDI QIDQ3023043zbMATH OpenOpenAlexFDO

Authors Frédérique Bec, Anders Rahbek

Publication date 4 July 2005

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2004.00147.x

zbMATH Keywords

cointegrationterm structure

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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Cites work

• Adaptive consistent unit-root tests based on autoregressive threshold model
• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nonlinear error correction models
• Unit root tests in three‐regime SETAR models

Cited in

(26)

• A non-linear error correction mechanism based on the bilinear model
• Financial stress, regime switching and macrodynamics
• Oscillating systems with cointegrated phase processes
• Stability results for nonlinear error correction models
• Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
• Stochastic model specification in Markov switching vector error correction models
• Nonlinear error correction model and multiple-threshold cointegration
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Basket trading under co-integration with the logistic mixture autoregressive model
• Clive W. J. Granger and cointegration
• Estimation of nonlinear error correction models
• LIMITED TIME SERIES WITH A UNIT ROOT
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• Linear cointegration of nonlinear time series with an application to interest rate dynamics
• Tests for nonlinear cointegration
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Testing for cointegration in nonlinear asymmetric smooth transition error correction models
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Stationarity and ergodicity of vector STAR models
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Instability in regime switching models
• A New Class of Bivariate Threshold Cointegration Models
• Stability in threshold VAR models
• Likelihood-based inference for cointegration with nonlinear error-correction
• Nonparametric estimation in a nonlinear cointegration type model

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