TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

(2012)   ECONOMETRICA

Testing for co-integration and nonlinear adjustment in a smooth transition error correction model

(2011) Rehim Kılıç   JOURNAL OF TIME SERIES ANALYSIS

NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION

(2011) Xiaoxia Shi et al.   ECONOMETRIC THEORY

PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS

(2011) Mika Meitz et al.   ECONOMETRIC THEORY

Likelihood-based inference for cointegration with nonlinear error-correction

(2010) Dennis Kristensen et al.   JOURNAL OF ECONOMETRICS

Testing for co-integration in vector autoregressions with non-stationary volatility

(2010) Giuseppe Cavaliere et al.   JOURNAL OF ECONOMETRICS

Some identification problems in the cointegrated vector autoregressive model

(2010) Søren Johansen   JOURNAL OF ECONOMETRICS

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS

(2010) Myung Hwan Seo   ECONOMETRIC THEORY

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

(2010) Giuseppe Cavaliere et al.   ECONOMETRIC THEORY

SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL

(2009) Christian Francq et al.   ECONOMETRIC THEORY

Comment on: Threshold Autoregressions With a Unit Root

(2008)   ECONOMETRICA

UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP

(2008) Myung Hwan Seo   ECONOMETRIC THEORY