STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION

DOI10.1017/S0266466608080122zbMath1280.62095OpenAlexW2098096751MaRDI QIDQ3632379

Pentti Saikkonen

Publication date: 11 June 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608080122

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (7)

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ Multivariate specification tests based on a dynamic Rosenblatt transform ⋮ TESTS FOR NONLINEAR COINTEGRATION ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Testing for co-integration and nonlinear adjustment in a smooth transition error correction model ⋮ Financial stress, regime switching and macrodynamics ⋮ Stationarity and ergodicity of vector STAR models

Cites Work

• Stability results for nonlinear error correction models
• Asymptotic stability and generalized Gelfand spectral radius formula
• Verifying irreducibility and continuity of a nonlinear time series
• Computing the joint spectral radius
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Threshold Cointegration
• Nonlinear error correction models
• Computationally Efficient Approximations of the Joint Spectral Radius
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

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