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Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Nonparametric estimation in a nonlinear cointegration type model

Karlsen, Hans Arnfinn; Myklebust, Terje; Tjostheim, Dag - 2000

We derive an asymptotic theory of nonparametric estimation for an nonlinear transfer function model Z(t) = f (Xt) + Wt … interpreted as a nonlinear cointegration type relationship, but we believe that our results have wider interest. The class of … properties f(x) are studied via a set of simulation experiments. -- cointegration ; nonstationary time series models ; null …

Persistent link: https://www.econbiz.de/10009583888

Bootstrap of kernel smoothing in nonlinear time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - 1997

Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the...

Persistent link: https://www.econbiz.de/10009632604

Flexible time series analysis

Härdle, Wolfgang; Tschernig, Rolf - 2000

Persistent link: https://www.econbiz.de/10009611560

Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

Gil-Alaña, Luis A. - 2000

Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When...

Persistent link: https://www.econbiz.de/10009582385

Test procedures for unit roots in time series with level shifts at unknown time

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001

Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...

Persistent link: https://www.econbiz.de/10009613596

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These …

Persistent link: https://www.econbiz.de/10009578029

Some nonparametric tests for unit roots and cointegration

Breitung, Jörg - 1999

the cointegration rank in the spirit of Johansen (1988). …

Persistent link: https://www.econbiz.de/10009580478

Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104

On the effects of aggregating cointegrated variables over time

Müller-Kademann, Christian - 2002

(cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … generating process will change considerably. Cointegration tests become invalid in a single equation framework but system … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …

Persistent link: https://www.econbiz.de/10009620772

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