ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS

DOI10.1017/S026646661000023XzbMath1210.62124OpenAlexW3125415754MaRDI QIDQ3168869

Myung Hwan Seo

Publication date: 27 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646661000023x

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) General nonlinear regression (62J02) Monte Carlo methods (65C05)

Related Items (5)

Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives

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