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Linear cointegration of nonlinear time series with an application to interest rate dynamics

Nesmith, Travis D.; Jones, Barry E. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10009513636

Testing for co-non-linearity

Hungnes, Håvard - 2012

Persistent link: https://www.econbiz.de/10009563370

Purchasing power parity and structural instability in the US/UK exchange rate

Karoglou, Michail; Morley, Bruce - In: Journal of international financial markets, … 22 (2012) 4, pp. 958-972

Persistent link: https://www.econbiz.de/10009582495

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