Nonlinear estimation using estimated cointegrating relations

DOI10.1016/S0304-4076(00)00075-0zbMath0967.62063OpenAlexW2025167758MaRDI QIDQ5931141

Robert M. de Jong

Publication date: 2 September 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00075-0

zbMATH Keywords

time seriesnonlinearitycointegrationunit root

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)

Related Items (6)

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ TIME-VARYING COINTEGRATION ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ Performance of threshold cointegration tests ⋮ Nonlinear minimization estimators in the presence of cointegrating relations.

Cites Work

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• Statistical analysis of cointegration vectors
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• Optimal Inference in Cointegrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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