Testing for cointegration in nonlinear asymmetric smooth transition error correction models

DOI10.1080/03610918.2018.1559927zbMath1489.62277OpenAlexW2912333595MaRDI QIDQ5083990

Aycan Hepsag

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1559927

zbMATH Keywords

nonlinearitycointegrationasymmetric ESTAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Testing for two-regime threshold cointegration in vector error-correction models.
• An alternative procedure to test for cointegration in STAR models
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Asymptotic Properties of Residual Based Tests for Cointegration
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Threshold Cointegration
• Nonlinear Regressions with Integrated Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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