A Note on Nonlinear Cointegration, Misspecification, and Bimodality

DOI10.1080/07474938.2012.690676zbMath1491.62115OpenAlexW2055462585MaRDI QIDQ5080465

Marcelo C. Medeiros, Les Oxley, Eduardo F. Mendes

Publication date: 31 May 2022

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

Full work available at URL: https://repec.canterbury.ac.nz/cbt/econwp/1001.pdf

zbMATH Keywords

nonlinearitycointegrationbimodalityasymptotic theorymisspecification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) General nonlinear regression (62J02)

Cites Work

• Unnamed Item
• Heteroskedastic cointegration
• Functional-coefficient cointegration models
• Testing linearity in cointegrating smooth transition regressions
• Endogeneity in Nonlinear Regressions with Integrated Time Series
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS

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