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Functional-coefficient cointegration models · Study

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ArticleFunctional-coefficient cointegration models

Zhijie Xiao2009

Article2009

Functional-coefficient cointegration models

106 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1992Testing the null hypothesis of stationarity against the alternative of a unit root 2012The Econometrics of Financial Markets 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1981Some properties of time series data and their use in econometric model specification 2004CAViaR

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Details

Year2009

Typearticle

Published2009-01-17

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations106

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/j.jeconom.2009.01.008

openalex_workW2064069418

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2020Some notes on nonlinear cointegration: A partial review with some novel perspectives

2013Estimating Smooth Structural Change in Cointegration Models