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Model checks for nonlinear cointegrating regression

Wang, Qiying; Wu, Dongsheng; Zhu, Ke - In: Journal of econometrics 207 (2018) 2, pp. 261-284

Persistent link: https://www.econbiz.de/10012116349

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195

Persistent link: https://www.econbiz.de/10011339876

A note on nonlinear cointegration, misspecification, and bimodality

Medeiros, Marcelo C.; Mendes, Eduardo F.; Oxley, Les - In: Econometric reviews 33 (2014) 7, pp. 713-731

Persistent link: https://www.econbiz.de/10010363888

A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data

Smallwood, Aaron D. - In: Econometric reviews 35 (2016) 5/7, pp. 986-1012

Persistent link: https://www.econbiz.de/10011590992

Threshold autoregressive models for interval-valued time series data

Sun, Yuying; Han, Ai; Hong, Yongmiao; Wang, Shouyang - In: Journal of econometrics 206 (2018) 2, pp. 414-446

Persistent link: https://www.econbiz.de/10012110403

Portmanteau tests for linearity of stationary time series

Psaradakis, Zacharias G.; Vávra, Marián - In: Econometric reviews 38 (2019) 2, pp. 248-262

Persistent link: https://www.econbiz.de/10012180732

Robust inference for predictability in smooth transition predictive regressions

Kiliç, Rehim - In: Econometric reviews 37 (2018) 6/10, pp. 1067-1094

Persistent link: https://www.econbiz.de/10012040538

Copula-based time series with filtered nonstationarity

Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - In: Journal of econometrics 228 (2022) 1, pp. 127-155

Persistent link: https://www.econbiz.de/10013441732

The Nonlinear Dynamics of Output and Unemployment in the US

Altissimo, Filippo; Violante, Giovanni L - C.E.P.R. Discussion Papers - 2000

This paper studies the joint dynamics of US output and unemployment rates in a nonlinear VAR model. The nonlinearity is …

Persistent link: https://www.econbiz.de/10005791372

Nonlinearities in the Oil Price-Output Relationship

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011

It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetries, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations....

Persistent link: https://www.econbiz.de/10008784725