TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS

DOI10.1017/S0266466606060129zbMath1127.62081OpenAlexW2125976648MaRDI QIDQ5438204

Yongcheol Shin, Andy Snell, George Kapetanios

Publication date: 23 January 2008

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

Full work available at URL: https://doi.org/10.1017/s0266466606060129

zbMATH Keywords

tablesasset pricing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

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Cites Work

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