TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

DOI10.1017/S0266466613000054zbMath1290.62080OpenAlexW2146987211MaRDI QIDQ4979497

Anders Rahbek, Dennis Kristensen

Publication date: 23 June 2014

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

Full work available at URL: https://doi.org/10.1017/s0266466613000054

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (11)

Unnamed Item ⋮ Automated Estimation of Heavy-Tailed Vector Error Correction Models ⋮ Testing for cointegration in nonlinear asymmetric smooth transition error correction models ⋮ Oscillating systems with cointegrated phase processes ⋮ Inference for the VEC(1) model with a heavy-tailed linear process errors* ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ Interest rate pass-through: a nonlinear vector error-correction approach ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ Inference in heavy-tailed vector error correction models ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS

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