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Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, Dennis - 2010
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/10013137281
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Testing and inference in nonlinear cointegrating vector erro correction models
Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 29 (2013) 6, pp. 1238-1288
Persistent link: https://www.econbiz.de/10010343726
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Likelihood-based inference for cointegration with nonlinear error-correction
Kristensen, Dennis; Rahbek, Anders - In: Journal of econometrics 158 (2010) 1, pp. 78-94
Persistent link: https://www.econbiz.de/10008826874
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Testing and inference in nonlinear cointegrating vector error correction models
Kristensen, Dennis; Rahbek, Anders - 2010
Persistent link: https://www.econbiz.de/10008661901
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Testing and inference in nonlinear cointegrating vector error correction models
Kristensen, Dennis; Rahbek, Anders - 2010
Persistent link: https://www.econbiz.de/10008663980
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Cointegration rank inference with stationary regressors in VAR models
Rahbek, Anders; Mosconi, Rocco - In: The econometrics journal 2 (1999) 1, pp. 76-91
Persistent link: https://www.econbiz.de/10001449262
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Asymptotic likelihood based inference for cointegrated homogenous Gaussian diffusions
Kessler, Mathieu; Rahbek, Anders - 1999
Persistent link: https://www.econbiz.de/10001456590
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Weak exogeneity in I(2) VAR systems
Paruolo, Paolo; Rahbek, Anders - In: Journal of econometrics 93 (1999) 2, pp. 281-308
Persistent link: https://www.econbiz.de/10001406658
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Similarity issues in cointegration analysis
Nielsen, Bent; Rahbek, Anders - In: Oxford bulletin of economics and statistics 62 (2000) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10001481785
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Stationary and asymptotics of multivariate ARCH time series with an application to robustness of cointegration analysis
Hansen, Ernst; Rahbek, Anders - 1998
Persistent link: https://www.econbiz.de/10001369614