Nonlinear error correction models
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.
|Date of creation:||May 2001|
|Date of revision:|
|Contact details of provider:|| |
When requesting a correction, please mention this item's handle: RePEc:can:series:2001-03. 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: (Patricia Santana)
If references are entirely missing, you can add them using this form.