Functional coefficient cointegration models with Box–Cox transformation
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DOI: 10.1016/j.econlet.2023.111472
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More about this item
Keywords
Box–Cox transformation; Cointegration; Extremum estimation; Functional coefficient; Sieve method;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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