Nonlinear error correction models

DOI10.1111/1467-9892.00276zbMath1062.62169OpenAlexW3125543913MaRDI QIDQ4677007

Alvaro Escribano, Santiago Mira

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/2568

zbMATH Keywords

cointegrationnonlinear error correctionnear epoch dependence

Mathematics Subject Classification ID

Related Items (10)

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ MODELING MACROECONOMIC SUBAGGREGATES: AN APPLICATION OF NONLINEAR COINTEGRATION ⋮ Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand ⋮ Vector equilibrium correction models with non‐linear discontinuous adjustments ⋮ TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS ⋮ Nonparametric estimation in a nonlinear cointegration type model ⋮ STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION ⋮ NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000) ⋮ Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests ⋮ Stability results for nonlinear error correction models

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?
• Understanding spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Spurious regressions in econometrics
• Deciding between I(1) and I(0)

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