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Spurious fixed effects regression

Choi, In - In: Oxford bulletin of economics and statistics 75 (2013) 2, pp. 297-306

Persistent link: https://www.econbiz.de/10009754617

Model selection criteria for the leads-and-lags cointegrating regression

Choi, In; Kurozumi, Eiji - In: Journal of econometrics 169 (2012) 2, pp. 224-238

Persistent link: https://www.econbiz.de/10009671315

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

Cointegrating smooth transition regressions

Saikkonen, Pentti; Choi, In - In: Econometric theory 20 (2004) 2, pp. 301-340

Persistent link: https://www.econbiz.de/10001987871

Testing linearity in cointegrating transition regressions

Choi, In; Saikkonen, Pentti - In: The econometrics journal 7 (2004) 2, pp. 341-365

Persistent link: https://www.econbiz.de/10002463466

Cointegrating smooth transition regressions with application to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

Persistent link: https://www.econbiz.de/10001555318