Stability results for nonlinear error correction models
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- Markku Lanne & Pentti Saikkonen, 2003.
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- 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.
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4-96-6, Pennsylvania State - Department of Economics.
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- 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.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Balke, Nathan S. & Fomby, Thomas B., 1992.
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, December.
- Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
- 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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