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On bootstrap inference in cointegrating regressions

Psaradakis, Zacharias G. - In: Economics letters 72 (2001) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10001577808

Changes in regime, cointegration, seasonality and the Japanese consumption function

Hall, Stephen G.; Psaradakis, Zacharias; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000151422

Switching error-correction models of house prices in the United Kingdom

Hall, Stephen G.; Psaradakis, Zacharias G.; Sola, Martin - 1997

Persistent link: https://www.econbiz.de/10000961097

Forecast performance of nonlinear error-correction models with multiple regimes

Psaradakis, Zacharias G.; Spagnolo, Fabio - In: Journal of forecasting 24 (2005) 2, pp. 119-138

Persistent link: https://www.econbiz.de/10002674332

A simple method of testing for cointegration subject to multiple regime changes

Gabriel, Vasco J.; Psaradakis, Zacharias G.; Sola, Martin - In: Economics letters 76 (2002) 2, pp. 213-221

Persistent link: https://www.econbiz.de/10001690295

On Markov error-correction models, with an application to stockprices and dividends

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - In: Journal of applied econometrics 19 (2004) 1, pp. 69-88

Persistent link: https://www.econbiz.de/10001924673

Changes in regime, cointegration, seasonality and the Japanese consumption function

Hall, Stephen G.; Psaradakis, Zacharias G.; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000906274

Markov cointegration

Psaradakis, Zacharias G.; Spagnolo, Fabio - 1999

Persistent link: https://www.econbiz.de/10001415488

Forecast Performance of Nonlinear Error-Correction Models with Multiple Regimes

Psaradakis, Zacharias; Spagnolo, Fabio - 2004

In this paper we investigate the forecast performance of nonlinear error-correction models with regime switching. In particular, we focus on threshold and Markov-switching error-correction models where adjustment towards long-run equilibrium is nonlinear and discontinuous. Our simulation study...

Persistent link: https://www.econbiz.de/10014068297

The asymptotic distribution of the cointegration rank estimator under the Akaike information criterion

Kapetanios, George - In: Econometric theory 20 (2004) 4, pp. 735-742

Persistent link: https://www.econbiz.de/10002163092