Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics

DOI10.2202/1558-3708.1468zbMath1193.91177OpenAlexW2149015335MaRDI QIDQ3574714

Travis D. Nesmith, Barry E. Jones

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2007/200703/200703pap.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• 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?
• Nonlinear interest rate dynamics and implications for the terms structure
• Nonparametric cointegration analysis
• Nonparametric tests for unit roots and cointegration.
• Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
• Spurious nonlinear regressions in econometrics
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Linearity tests and stationarity
• Testing linearity against smooth transition autoregressive models
• Threshold Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root
• Testing stationarity and trend stationarity against the unit root hypothesis
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics