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Nonlinear error correction models

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Author Info
Alvaro Escribano () (Universidad Carlos III de Madrid. Departamento de Economía Aplicada)
Santiago Mira () (Universidad de Las Palmas de Gran Canaria. Departamento de Análisis Económico Aplicado)

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Abstract

The 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.

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Publisher Info
Paper provided by Facultad de Ciencias Económicas de la ULPGC in its series Documentos de trabajo conjunto ULL-ULPGC with number 2001-03.

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Length: 18 pages
Date of creation: May 2001
Date of revision:
Handle: RePEc:can:series:2001-03

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Related research
Keywords: Cointegration; Nonlinear Error Correction; Near Epoch Dependence;

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  4. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
  5. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," BORRADORES DE INVESTIGACIÓN 003296, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
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  7. Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," BORRADORES DE INVESTIGACIÓN 002737, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
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  8. 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!]
  9. David McMillan & Angela Black, 2001. "Nonlinear error correction in spot and forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(4), pages 737-750, December. [Downloadable!] (restricted)
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  10. Gabriella Legrenzi & Costas Milas, 2002. "Asymmetric and non-linear adjustment in the revenue-expenditure models," Economics and Finance Discussion Papers 02-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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  12. Gabriella Legrenzi & Costas Milas, 2004. "Non-linear adjustments in fiscal policy," City University Economics Discussion Papers 04/06, Department of Economics, City University, London. [Downloadable!]
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  13. Huimin Chung & Tsung-Wu Ho & Ling-Ju Wei, 2005. "The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model," Applied Economics, Taylor and Francis Journals, vol. 37(20), pages 2387-2394, November. [Downloadable!] (restricted)
  14. Kunst, Robert M. & Jumah, Adusei, 2004. "Toward a Theory of Evaluating Predictive Accuracy," Economics Series 162, Institute for Advanced Studies. [Downloadable!]
  15. 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. [Downloadable!]
  16. Gabriella Legrenzi, 2005. "Asymmetries in the Growth of Governments," Keele Economics Research Papers KERP 2005/03, Centre for Economic Research, Keele University. [Downloadable!]
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  18. Jennifer L. Castle & David F. Hendry, 2008. "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers 409, University of Oxford, Department of Economics. [Downloadable!]
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  19. Alvaro Escribano & Clive W.J. Granger, 1996. "Investigating the Relationship between Gold and Silver Prices," University of California at San Diego, Economics Working Paper Series 96-38, Department of Economics, UC San Diego. [Downloadable!]
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