Estimation of nonlinear error correction models
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- Hwan Seo, Myung, 2011. "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, vol. 27(2), pages 201-234, April.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017. "Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
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More about this item
Keywords
Threshold Cointegration; Smooth Transition Error Correction; Least Squares; Smoothed Least Squares; Consistency; Convergence Rate;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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