Cointegration tests on MARS

DOI10.1007/BF01299327zbMath0800.62759MaRDI QIDQ1318307

Peter S. Sephton

Publication date: 27 March 1994

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (1)

Long-memory exchange rate dynamics in the Euro era

Cites Work

• Unnamed Item
• Unnamed Item
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Forecasting and testing in co-integrated systems
• Multivariate adaptive regression splines
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Estimating Optimal Transformations for Multiple Regression and Correlation
• Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (MARS)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

This page was built for publication: Cointegration tests on MARS