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Specification testing for nonlinear multivariate cointegrating regressions · Study

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ArticleSpecification testing for nonlinear multivariate cointegrating regressions

Chaohua Dong2017

Article2017

Specification testing for nonlinear multivariate cointegrating regressions

Chaohua Dong · Jiti Gao · Dag Tjøstheim · Jiying Yin

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

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Monetary Policy and Economic Impact Statistical Methods and Inference Diverse Scientific and Economic Studies

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References

1997The Econometrics of Financial Markets 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence 2001Nonlinear Regressions with Integrated Time Series 2009Structural Nonparametric Cointegrating Regression 2001Nonlinear econometric models with cointegrated and deterministically trending regressors 2009Functional-coefficient cointegration models 1981Interest Rates, Inflation, and the Aggregate Consumption Function 1999Consumption Adjustment under Time-Varying Income Uncertainty

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Year2017

Typearticle

Published2017-06-17

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations14

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2017.05.016

openalex_workW3124188142

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