First and second order non-linear cointegration models
Download full text from publisher
References listed on IDEAS
- Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
- Ait-Sahalia, Yacine, 1996.
"Testing Continuous-Time Models of the Spot Interest Rate,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 385-426.
- Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
- Massimiliano Marcellino & Grayham E. Mizon & Hans-Martin Krolzig, 2002.
"A Markov-switching vector equilibrium correction model of the UK labour market,"
Springer, vol. 27(2), pages 233-254.
- Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, "undated". "A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market," Working Papers 185, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Krolzig, Hans-Martin & Marcellino, Massimiliano & Mizon, Grayham E., 2000. "A Markov-switching vector equilibrium correction model of the UK labour market," Discussion Paper Series In Economics And Econometrics 105, Economics Division, School of Social Sciences, University of Southampton.
- Forbes, C.S. & Kofman, P., 2000. "Bayesian Soft Target Zones," Monash Econometrics and Business Statistics Working Papers 4/00, Monash University, Department of Econometrics and Business Statistics.
- Saikkonen, Pentti, 2005. "Stability results for nonlinear error correction models," Journal of Econometrics, Elsevier, vol. 127(1), pages 69-81, July.
- Gourieroux, Christian & Robert, Christian Y., 2006. "Stochastic Unit Root Models," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1052-1090, December.
- Campbell, John Y & Shiller, Robert J, 1987.
"Cointegration and Tests of Present Value Models,"
Journal of Political Economy,
University of Chicago Press, vol. 95(5), pages 1062-1088, October.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
- Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
- Elias Tzavalis & Michael Wickens, "undated".
"The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence,"
95/33, Department of Economics, University of York.
- Tzavalis, Elias & Wickens, Micheal, 1994. "The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence," Discussion Papers 9402, Exeter University, Department of Economics.
- repec:cup:etheor:v:23:y:2007:i:04:p:761-766 is not listed on IDEAS
- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2006. "Testing For Cointegration In Nonlinear Smooth Transition Error Correction Models," Econometric Theory, Cambridge University Press, vol. 22(02), pages 279-303, April.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000.
"Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes,"
Journal of Econometrics,
Elsevier, vol. 96(1), pages 39-73, May.
- Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers 4-96-6, Pennsylvania State - Department of Economics.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, SÃ©bastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," CORE Discussion Papers RP 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Catherine S. Forbes & Paul Kofman, 2000.
"Bayesian Target Zones,"
Research Paper Series
32, Quantitative Finance Research Centre, University of Technology, Sydney.
- Catherine S. Forbes & Paul Kofman, 2000. "Bayesian Target Zones," Econometric Society World Congress 2000 Contributed Papers 0575, Econometric Society.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-484, November.
- Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008.
"Adaptive consistent unit-root tests based on autoregressive threshold model,"
Journal of Econometrics,
Elsevier, vol. 142(1), pages 94-133, January.
- Frédérique Bec & Alain Guay & Emmanuel Guerre, 2002. "Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model," Working Papers 2002-46, Center for Research in Economics and Statistics.
- Jensen, S ren Tolver & Rahbek, Anders, 2007. "On The Law Of Large Numbers For (Geometrically) Ergodic Markov Chains," Econometric Theory, Cambridge University Press, vol. 23(04), pages 761-766, August.
- Evans, Martin D. D. & Lewis, Karen K., 1994.
"Do stationary risk premia explain it all?: Evidence from the term structure,"
Journal of Monetary Economics,
Elsevier, vol. 33(2), pages 285-318, April.
- Martin D. Evans & Karen K. Lewis, 1992. "Do Stationary Risk Premia Explain It All? Evidence from the Term Structure," Working Papers 92-11, New York University, Leonard N. Stern School of Business, Department of Economics.
- Escribano, Alvaro, 2004. "Nonlinear Error Correction: The Case Of Money Demand In The United Kingdom (1878 2000)," Macroeconomic Dynamics, Cambridge University Press, vol. 8(01), pages 76-116, February.
- Lu, Zudi, 1996. "A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model," Statistics & Probability Letters, Elsevier, vol. 30(4), pages 305-311, November.
- Akram, Q. Farooq & Nymoen, Ragnar, 2006. "Econometric modelling of slack and tight labour markets," Economic Modelling, Elsevier, vol. 23(4), pages 579-596, July.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- 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.
- Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
- Saikkonen, Pentti, 2008. "Stability Of Regime Switching Error Correction Models Under Linear Cointegration," Econometric Theory, Cambridge University Press, vol. 24(01), pages 294-318, February.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
More about this item
KeywordsCointegration; Non-linear adjustment; Regime switching; Multivariate ARCH.;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aah:create:2009-04. See general 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: (). General contact details of provider: http://www.econ.au.dk/afn/ .