Testing for Cointegration in Nonlinear STAR Error Correction Models
Year of publication: |
2003-07
|
---|---|
Authors: | Kapetanios, George ; Shin, Yongcheol ; Snell, Andy |
Institutions: | School of Economics and Finance, Queen Mary |
Subject: | Unit roots | Globally stationary cointegrating processes | Nonlinear exponential smooth transition autoregressive error correction models | Monte Carlo simulations | Prices and dividends |
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