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Likelihood-Based Inference in Nonlinear Error-Correction Models · Study

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PreprintLikelihood-Based Inference in Nonlinear Error-Correction Models

Anders Rahbek2008

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Preprintgreen2008

Likelihood-Based Inference in Nonlinear Error-Correction Models

Anders Rahbek · Dennis Kristensen

18 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

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References

2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 2002Testing for two-regime threshold cointegration in vector error-correction models 1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World 2001Nonlinear Regressions with Integrated Time Series 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes 2006TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS 2004ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 2004On Markov error‐correction models, with an application to stock prices and dividends

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2008Parameterizing Unconditional Skewness in Models for Financial Time Series 2008Efficient Estimation for Ergodic Diffusions Sampled at High Frequency 2011Testing for co-integration and nonlinear adjustment in a smooth transition error correction model

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2010Likelihood-based inference for cointegration with nonlinear error-correctionarticle · 18 shared references 2011ESTIMATION OF NONLINEAR ERROR CORRECTION MODELSarticle · 12 shared references 2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELSarticle · 9 shared references 2011Testing for co-integration and nonlinear adjustment in a smooth transition error correction modelarticle · 9 shared references 2020Some notes on nonlinear cointegration: A partial review with some novel perspectivesarticle · 7 shared references 2009TESTS FOR NONLINEAR COINTEGRATIONarticle · 6 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations18

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1089287

openalex_workW1589908667

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