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We consider a class of vector nonlinear error correction models where the transfer function (or loadings) of the stationary relation- ships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties...
Persistent link: https://www.econbiz.de/10005440051
Persistent link: https://www.econbiz.de/10005411967
We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn...
Persistent link: https://www.econbiz.de/10011170253
Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear ARCH(q) models -- including for example Asymmetric Power ARCH and log-ARCH -- are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional...
Persistent link: https://www.econbiz.de/10004988904
In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...
Persistent link: https://www.econbiz.de/10010612964
We consider a class of nonlinear vector error correction models where the transfer function (or loadings) of the stationary relationships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties of...
Persistent link: https://www.econbiz.de/10008866532
In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing for...
Persistent link: https://www.econbiz.de/10008677954
Persistent link: https://www.econbiz.de/10010711576
The main uniform convergence results of Hansen (2008) are generalized in two directions: Data is allowed to (i) be heterogenously dependent and (ii) depend on a (possibly unbounded) parameter. These results are useful in semiparametric estimation problems involving time-inhomogenous models...
Persistent link: https://www.econbiz.de/10005440077
Persistent link: https://www.econbiz.de/10005411680