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Threshold effects in multivariate error correction models
Pitarakis, Jean-Yves - 2005
Persistent link: https://www.econbiz.de/10002578618
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A powerful, simple test for cointegration using Cochrane-Orcutt
Hansen, Bruce E. - 1990 - Rev
Persistent link: https://www.econbiz.de/10000791443
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Threshold effects in cointegrating relationships
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2005
Persistent link: https://www.econbiz.de/10003229469
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Threshold effects in cointegrating relationships
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Oxford bulletin of economics and statistics 68 (2006), pp. 813-833
Persistent link: https://www.econbiz.de/10003393551
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Detecting sparse cointegration
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2024
Persistent link: https://www.econbiz.de/10015395838
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Functional cointegration : definition and nonparametric estimation
Pitarakis, Jean-Yves; Banerjee, Anurag Narayan - 2012
Persistent link: https://www.econbiz.de/10009672420
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Piecewise local linear estimation of functional equilibrium relationships
Banerjee, Anurag Narayan; Pitarakis, Jean-Yves - 2011
Persistent link: https://www.econbiz.de/10009672758
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Functional cointegration : definition and nonparametric estimation
Banerjee, Anurag Narayan; Pitarakis, Jean-Yves - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 507-520
Persistent link: https://www.econbiz.de/10010461196
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Spurious relationships in high-dimensional systems with strong or mild persistence
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: International journal of forecasting 37 (2021) 4, pp. 1480-1497
Persistent link: https://www.econbiz.de/10013274296
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Residual-based tests for cointegration in models with regime shifts
Gregory, Allan W.; Hansen, Bruce E. - 1992
Persistent link: https://www.econbiz.de/10000141685