estimation of nonlinear error correction models Blossom Texas

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estimation of nonlinear error correction models Blossom, Texas

Var Models in Macroeconomics - New Developments and Applications: Essays in Honor of Christopher A. Park & P. Bai & P. This list is generated based on data provided by CrossRef.

CrossRef Google Scholar A.M. Journal of Econometrics 134, 129–150. CrossRef Google Scholar F. The results suggest that the long-run drivers of Brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price

Dirk G Baur & Duy T. Saikkonen (2005) Stability results for nonlinear error correction models. The system returned: (22) Invalid argument The remote host or network may be down. Econometrica 66, 47–78.

Macroeconomic Dynamics 8, 76–116. The system returned: (22) Invalid argument The remote host or network may be down. CrossRef Google Scholar B. Seo (2002) Testing for two-regime threshold cointegration in vector error correction models.

Note that these files are not on the IDEAS site. This is a nonregular problem due to the presence of cointegration and nonlinearity. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. Journal of Econometrics 127, 209–233.

To improve your experience please try one of the following options: Chrome (latest version) Firefox (latest version) Internet Explorer 10+ Cancel Log in × Home Only search content I have access Close this message to accept cookies or find out how to manage your cookie settings. Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: RePEc:ehl:lserod:6802. Papers are problem-oriented and demonstrate originality and innovation in analysis, methods, or application.

Please try the request again. Michael , A.R. Psaradakis , M. Spagnolo (2004) On Markov error-correction models, with an application to stock prices and dividends.

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McFadden (1994) Large sample estimation and hypothesis testing. VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Escribano & S. Please note that corrections may take a couple of weeks to filter through the various RePEc services.

Copyright COPYRIGHT: © Cambridge University Press 2010 Corresponding author *Address correspondence to Myung Hwan Seo, Department of Economics, London School of Economics, Houghton St., London WC2A 2AE, United Kingdom; e-mail: [email protected] Chan (1993) Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Hansen (2000) Sample splitting and threshold estimation. Please try the request again.

Granger, Clive W. Note: In calculating the moving wall, the current year is not counted. Journal of Econometrics 96, 39–73. Non-linear adjustments to intranational PPP.

Price transmission, asymmetric adjustment and threshold effects in the cotton supply chain: a case study for Vidarbha, India. Login to your MyJSTOR account × Close Overlay Personal Access Options Buy a PDF of this article Buy a downloadable copy of this article and own it forever. Louis using RePEc data. TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS.

Oxford Bulletin of Economics and Statistics 68, 813–833.