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Stability results for nonlinear error correction models

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  • Saikkonen, Pentti

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 127 (2005)
Issue (Month): 1 (July)
Pages: 69-81

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Handle: RePEc:eee:econom:v:127:y:2005:i:1:p:69-81

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

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References

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  1. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
  2. Markku Lanne & Pentti Saikkonen, 2001. "Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes," CeNDEF Workshop Papers, January 2001 PO5, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Cline, Daren B. H. & Pu, Huay-min H., 1998. "Verifying irreducibility and continuity of a nonlinear time series," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 139-148, September.
  4. Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers 4-96-6, Pennsylvania State - Department of Economics.
  5. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  6. Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
  7. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  8. Lanne , Markku, 2002. "Nonlinear dynamics of interest rate and inflation," Research Discussion Papers 21/2002, Bank of Finland.
  9. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  10. Granger, Clive W.J., 2001. "Overview Of Nonlinear Macroeconometric Empirical Models," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 466-481, September.
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Citations

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Cited by:
  1. Mika Meitz & Pentti Saikkonen, 2008. "Stability of nonlinear AR-GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 453-475, 05.
  2. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  3. Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series /2007/517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October.
  5. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, School of Economics and Management, University of Aarhus.
  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. 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.
  8. Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, AccessEcon, vol. 6(39), pages 1-6.
  9. Ajmi, Ahdi Noomen & El Montasser, Ghassen & Nguyen, Duc Khuong, 2013. "Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests," Economic Modelling, Elsevier, vol. 35(C), pages 126-133.
  10. Lucchetti, Riccardo & Palomba, Giulio, 2009. "Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity," Economic Modelling, Elsevier, vol. 26(3), pages 659-667, May.
  11. 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.
  12. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  13. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
  14. 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.
  15. Myung Hwan Seo, 2007. "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics 6802, London School of Economics and Political Science, LSE Library.
  16. repec:ebl:ecbull:v:6:y:2008:i:39:p:1-6 is not listed on IDEAS
  17. 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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