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Index models with integrated time series

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Author Info
Chang, Yoosoon
Park, Joon Y.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-475RH5S-1/2/c744f5b91dc136eda767f781f517c0d7
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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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  1. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society. [Downloadable!]
  2. 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. [Downloadable!]
  3. 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. [Downloadable!]
  4. Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics. [Downloadable!]
  5. Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics. [Downloadable!]
  6. Emmanuel Guerre & Hyungsik Roger Moon, 2005. "A Study of a Semiparametric Binary Choice Model with Integrated Covariates," IEPR Working Papers 05.37, Institute of Economic Policy Research (IEPR). [Downloadable!]
    Other versions:
  7. Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society. [Downloadable!]
  8. Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics. [Downloadable!]
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