Nonlinear error correction models
AbstractThe relationship between cointegration and error correction models (EC) is well characterized in a linear context, but the extension to the nonlinear context is still a challenge. Few extensions of the linear framework have been done in the context of nonlinear error correction (NEC) or asymmetric and time varying error correction models. In this paper we propose a theoretical framework based on the concept of near epoch dependence (NED) that allows us to formally address these issues. In particular, we partially extend Granger Representation Theorem to the nonlinear case.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Facultad de Ciencias Económicas de la ULPGC in its series Documentos de trabajo conjunto ULL-ULPGC with number 2001-03.
Length: 18 pages
Date of creation: May 2001
Date of revision:
Contact details of provider:
Cointegration; Nonlinear Error Correction; Near Epoch Dependence;
Other versions of this item:
- Escribano, Álvaro & Mira, Santiago, 2002. "Nonlinear Error Correction Models," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2568, Universidad Carlos III de Madrid.
- NEP-ALL-2002-03-04 (All new papers)
- NEP-ECM-2002-03-04 (Econometrics)
- NEP-ETS-2002-04-08 (Econometric Time Series)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patricia Santana).
If references are entirely missing, you can add them using this form.