Nonlinear estimation using estimated cointegrating relations
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 101 (2001)
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/locate/jeconom
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Asymptotic Properties of Residual Based Tests for Cointegration,"
Econometric Society, vol. 58(1), pages 165-93, January.
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- Burton Hollifield & Robert A. Miller & Patrik Sandas, 2004.
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- Burton Hollifield & Robert Miller & Patrik Sandas, . "Empirical Analysis of Limit Order Markets," GSIA Working Papers -290183991, Carnegie Mellon University, Tepper School of Business.
- Hollifield, Burton & Miller, Robert & Sandås, Patrik, 2001. "Empirical Analysis of Limit Order Markets," CEPR Discussion Papers 2843, C.E.P.R. Discussion Papers.
- Kristensen, Dennis & Rahbek, Anders, 2013.
"Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models,"
Cambridge University Press, vol. 29(06), pages 1238-1288, December.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, School of Economics and Management, University of Aarhus.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers 10-25, University of Copenhagen. Department of Economics.
- de Jong, Robert M., 2002. "Nonlinear minimization estimators in the presence of cointegrating relations," Journal of Econometrics, Elsevier, vol. 110(2), pages 241-259, October.
- Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Bayer, Christian, 2006. "Investment dynamics with fixed capital adjustment cost and capital market imperfections," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1909-1947, November.
- Hwan Seo, Myung, 2011.
"Estimation Of Nonlinear Error Correction Models,"
Cambridge University Press, vol. 27(02), pages 201-234, April.
- Robert M. deJong, 2000. "Nonlinear Minimization Estimators in the Presence of Cointegrating Relations," Econometric Society World Congress 2000 Contributed Papers 1651, Econometric Society.
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