Stability Of Regime Switching Error Correction Models Under Linear Cointegration
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 24 (2008)
Issue (Month): 01 (February)
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- Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
- Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, School of Economics and Management, University of Aarhus.
- Timo Teräsvirta & Yukai Yang, 2014. "Linearity and Misspecification Tests for Vector Smooth Transition Regression Models," CREATES Research Papers 2014-04, School of Economics and Management, University of Aarhus.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, Elsevier, vol. 158(1), pages 78-94, September.
- MarÃ§al, Emerson Fernandes & Valls Pereira, Pedro L., 2012. "Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break," Textos para discussÃ£o 314, Escola de Economia de SÃ£o Paulo, Getulio Vargas Foundation (Brazil).
- Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, School of Economics and Management, University of Aarhus.
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