Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests

DOI10.1080/03610910600880351zbMath1130.37411OpenAlexW2094353764MaRDI QIDQ3424300

Alvaro Escribano, Felipe M. Aparicio, Ana E. Sipols

Publication date: 15 February 2007

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/2581

zbMATH Keywords

robustnessjumpsnonlinearitycointegrationstructural breaksunit roots testscounting statisticsrangessmall sample corrections

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Related Items (1)

NULL RECURRENT UNIT ROOT PROCESSES

Cites Work

• Extremal theory for stochastic processes
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
• Testing for a unit root in time series regression
• Nonlinear error correction models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Modelling Nonlinear Relationships between Extended-Memory Variables
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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