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Index models with integrated time series

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  • Chang, Yoosoon
  • Park, Joon Y.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 114 (2003)
Issue (Month): 1 (May)
Pages: 73-106

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Handle: RePEc:eee:econom:v:114:y:2003:i:1:p:73-106

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

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References

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  1. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-61, January.
  2. Donald W.K. Andrews & C. John McDermott, 1993. "Nonlinear Econometric Models with Deterministically Trending Variables," Cowles Foundation Discussion Papers 1053, Cowles Foundation for Research in Economics, Yale University.
  3. Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
  4. Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
  5. Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001. "Nonlinear econometric models with cointegrated and deterministically trending regressors," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
  6. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  7. Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  8. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  9. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January.
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Cited by:
  1. Gotz, Linde & Qiu, Feng & Glauben, Thomas, 2012. "The Law of One Price under State-Dependent Policy Intervention: An Application to the Ukrainian Wheat Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124904, Agricultural and Applied Economics Association.
  2. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
  3. 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.
  4. Chaohua Dong & Jiti Gao & Dag Tjostheim, 2014. "Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 7/14, Monash University, Department of Econometrics and Business Statistics.
  5. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
  6. Gervais, Jean-Philippe, 2007. "Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain," MPRA Paper 7743, University Library of Munich, Germany, revised 15 Jan 2008.
  7. Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
  8. Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics.
  9. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
  10. Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
  11. repec:wyi:wpaper:002020 is not listed on IDEAS
  12. 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.

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