Nonlinear error correction model and multiple-threshold cointegration

DOI10.5705/ss.2014.219tzbMath1356.62157OpenAlexW2520759568MaRDI QIDQ2828610

Man Wang, Ngai Hang Chan, Chun Yip Yau

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2014.219t

zbMATH Keywords

convergence rateerror correction modelmultiple-threshold cointegrationsmoothed least squares estimatorsuper consistency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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