Nonlinear minimization estimators in the presence of cointegrating relations.

DOI10.1016/S0304-4076(02)00093-3zbMath1038.62084MaRDI QIDQ1858971

Robert M. de Jong

Publication date: 17 February 2003

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

zbMATH Keywords

nonlinearitycointegrationunit rootsSTECM model

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) Point estimation (62F10) General nonlinear regression (62J02)

Related Items (5)

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Performance of threshold cointegration tests

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