A non-linear error correction mechanism based on the bilinear model

DOI10.1016/S0165-1765(97)00267-XzbMath0907.90061MaRDI QIDQ1129153

James Davidson, David A. Peel

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

nonlinear dynamicscointegrationconsumptionexchange ratesbilinear model

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items

Evolutionary transfer functions of bilinear processes with time-varying coefficients, Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results, Markov-switching stochastic trends and economic fluctuations, Nonlinear estimation using estimated cointegrating relations, On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing, Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes., Nonlinear minimization estimators in the presence of cointegrating relations.

Cites Work

• An introduction to bispectral analysis and bilinear time series models
• Volterra series and geometric control theory
• Threshold Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
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