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A non-linear error correction mechanism based on the bilinear model1

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  • Peel, David
  • Davidson, James

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 58 (1998)
Issue (Month): 2 (February)
Pages: 165-170

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Handle: RePEc:eee:ecolet:v:58:y:1998:i:2:p:165-170

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Web page: http://www.elsevier.com/locate/ecolet

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Cited by:
  1. Charemza W.W. & M. Lifshits & S. Makarova, 2002. "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002 251, Society for Computational Economics.
  2. Bilgili, Faik, 2006. "Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy," MPRA Paper 24086, University Library of Munich, Germany, revised 14 Jul 2010.
  3. Valérie Mignon & Gilles Dufrénot, 2002. "La cointégration non linéaire : une note méthodologique," Économie et Prévision, Programme National Persée, vol. 155(4), pages 117-137.
  4. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
  5. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
  6. Robert M. deJong, 2000. "Nonlinear Minimization Estimators in the Presence of Cointegrating Relations," Econometric Society World Congress 2000 Contributed Papers 1651, Econometric Society.
  7. Jack R. Rogers, 2013. "Monetary Transmission to UK Retail Mortgage Rates before and after August 2007," Discussion Papers 1307, Exeter University, Department of Economics.
  8. Charemza, Wojciech & Makarova , Svetlana & Kharin, Yuriy & Malugin, Vladimir & Huryn , Aliaksandr & Raskina, Julia, 2006. "On Building Economic Development Patterns for Russia and Belorussia on the Basis of LAM-3 Econometric Model," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 2(2), pages 124-139.
  9. Charemza, Wojciech & Makarova, Svetlana, 2009. "Nonlinear Inflationary Persistence and Growth: Theory and Empirical Comparative Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 5-22, June.
  10. Mendonca, Gui Pedro, 2008. "Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics," MPRA Paper 14648, University Library of Munich, Germany.
  11. Daniela Hristova, 2004. "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004 47, Society for Computational Economics.
  12. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88.

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