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Stability Of Regime Switching Error Correction Models Under Linear Cointegration

Citations

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Cited by:

  1. Duffy, James A. & Mavroeidis, Sophocles & Wycherley, Sam, 2025. "Cointegration with occasionally binding constraints," Journal of Econometrics, Elsevier, vol. 252(PA).
  2. Timo Teräsvirta & Yukai Yang, 2014. "Linearity and Misspecification Tests for Vector Smooth Transition Regression Models," CREATES Research Papers 2014-04, Department of Economics and Business Economics, Aarhus University.
  3. Mehmet Balcilar & Godwin Oluseye Olasehinde-Williams & Muhammad Shahbaz, 2019. "Asymmetric dynamics of insurance premium: the impact of monetary policy uncertainty on insurance premiums in Japan," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 12(3), pages 233-247.
  4. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
  5. Lanne, Markku & Virolainen, Savi, 2025. "A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
  6. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  7. Andrea Bucci, 2025. "Correction to: A Smooth Transition Autoregressive Model for Matrix-Variate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 65(1), pages 459-462, January.
  8. Bykhovskaya, Anna & Duffy, James A., 2024. "The local to unity dynamic Tobit model," Journal of Econometrics, Elsevier, vol. 241(2).
  9. Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
  10. Anton Skrobotov, 2021. "Structural breaks in cointegration models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 117-141.
  11. Timo Teräsvirta, 2017. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
  12. Chen, Pu & Semmler, Willi, 2024. "Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM," Journal of Economic Behavior & Organization, Elsevier, vol. 220(C), pages 433-452.
  13. Andrea Bucci, 2024. "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers 2406.02152, arXiv.org.
  14. Nakashima, Kiyotaka, 2008. "An Extremely Low Interest Rate Policy and the Shape of the Japanese Money Demand Function: A Nonlinear Cointegration Approach," MPRA Paper 70689, University Library of Munich, Germany.
  15. Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.
  16. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
  17. Nedeljkovic, Milan, "undated". "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," Economic Research Papers 269887, University of Warwick - Department of Economics.
  18. Kheifets, Igor L., 2018. "Multivariate specification tests based on a dynamic Rosenblatt transform," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 1-14.
  19. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  20. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
  21. Anna Bykhovskaya & James A. Duffy, 2022. "The Local to Unity Dynamic Tobit Model," Papers 2210.02599, arXiv.org, revised May 2024.
  22. Igor L. Kheifets & Pentti J. Saikkonen, 2020. "Stationarity and ergodicity of vector STAR models," Econometric Reviews, Taylor & Francis Journals, vol. 39(4), pages 407-414, April.
  23. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2012. "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break," Textos para discussão 314, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  24. Medeiros, Marcelo C & Magri, Rafael, 2013. "Nonlinear Error Correction Models With an Application to Commodity Prices," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 33(2), November.
  25. Chen, Pu & Semmler, Willi & Maurer, Helmut, 2025. "Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR)," Econometrics and Statistics, Elsevier, vol. 33(C), pages 105-134.
  26. Michael L. Polemis & Mike G. Tsionas, 2019. "Bayesian nonlinear panel cointegration: an empirical application to the EKC hypothesis," Letters in Spatial and Resource Sciences, Springer, vol. 12(2), pages 113-120, August.
  27. Savi Virolainen, 2024. "Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models," Papers 2404.19707, arXiv.org, revised Sep 2025.
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