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.
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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
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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)
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