Is there a nonlinear long-run relation in the U.S. interest rate and inflation?
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References listed on IDEAS
- In Choi & Pentti Saikkonen, 2004. "Testing linearity in cointegrating smooth transition regressions," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 341-365, December.
- Qiying Wang & Peter C. B. Phillips, 2009. "Structural Nonparametric Cointegrating Regression," Econometrica, Econometric Society, pages 1901-1948.
- Dimitris K. Christopoulos & Miguel A. Leãn-Ledesma, 2007. "A Long-Run Non-Linear Approach to the Fisher Effect," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 543-559, March.
- Saikkonen, Pentti & Choi, In, 2004. "Cointegrating Smooth Transition Regressions," Econometric Theory, Cambridge University Press, vol. 20(02), pages 301-340, April.
More about this item
Keywords(Nonlinear) cointegration; Rank tests; Interest rate; Inflation;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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