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Nonlinear error correction models

Citations

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Cited by:

  1. Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 277-288.
  2. Martha A. Misas A. & Enrique López E. & Carlos A. Arango A. & uan Nicolás Hernández A., 2004. "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 22(45), pages 10-57, June.
  3. Mohamed E AROURI & Fredj JAWADI & Duc K NGUYEN, 2012. "Nonlinear modeling of oil and stock price dynamics: segmentation or time-varying integration?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2481-2489.
  4. Valerie Mignon & Gilles Dufrenot & Slim Chaouachi, 2004. "Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-11.
  5. Dirk Baur & Duy Tran, 2014. "The long-run relationship of gold and silver and the influence of bubbles and financial crises," Empirical Economics, Springer, vol. 47(4), pages 1525-1541, December.
  6. María Torrado & Álvaro Escribano, 2020. "European gasoline markets: price transmission asymmetries in mean and variance," Applied Economics, Taylor & Francis Journals, vol. 52(42), pages 4621-4638, September.
  7. Arouri, Mohamed & Jawadi, Fredj & Nguyen, Duc Khuong, 2013. "What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 175-187.
  8. Corrado, Luisa & Holly, Sean, 2003. "Nonlinear Phillips curves, mixing feedback rules and the distribution of inflation and output," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 467-492, December.
  9. Seo Byeongseon, 2011. "Nonparametric Testing for Linearity in Cointegrated Error-Correction Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-28, March.
  10. Mohamed el hédi Arouri & Fredj Jawadi, 2011. "Do on/off time series models reproduce emerging stock market comovements?," Economics Bulletin, AccessEcon, vol. 31(1), pages 960-968.
  11. Gabriella Deborah Legrenzi & Costas Milas, 2010. "Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint," CESifo Working Paper Series 2926, CESifo.
  12. 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.
  13. David McMillan & Angela Black, 2001. "Nonlinear error correction in spot and forward exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(4), pages 737-750, December.
  14. Jean-Philippe Gervais, 2011. "Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1497-1510.
  15. repec:ebl:ecbull:v:3:y:2004:i:19:p:1-11 is not listed on IDEAS
  16. Brosig, Stephan & Glauben, Thomas & Götz, Linde & Weitzel, Enno-Burghard & Bayaner, Ahmet, 2011. "The Turkish wheat market: spatial price transmission and the impact of transaction costs," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 27(2), pages 147-161.
  17. Nesmith Travis D & Jones Barry E, 2008. "Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
  18. Slim Chaouachi & Fredj Jawadi, 2006. "Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique," EconomiX Working Papers 2006-20, University of Paris Nanterre, EconomiX.
  19. He, Dequan & Holt, Matthew T., 2004. "Efficiency Of Forest Commodity Futures Markets," 2004 Annual meeting, August 1-4, Denver, CO 20344, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  20. Huimin Chung & Tsung-Wu Ho & Ling-Ju Wei, 2005. "The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2387-2394.
  21. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  22. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Jul 2023.
  23. repec:bdr:ensayo:v::y:2004:i:45:p:10-57 is not listed on IDEAS
  24. Frédérique Bec & Mélika Ben Salem, 2004. "L'ajustement à seuil des processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'économie politique, Dalloz, vol. 114(4), pages 467-488.
  25. Sei-Wan Kim & Moon Jung Choi, 2018. "Do Korean Exports Have Different Patterns over Different Regimes?: New Evidence from STAR-VECM," Working Papers 2018-30, Economic Research Institute, Bank of Korea.
  26. Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
  27. David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 139-155.
  28. repec:ebl:ecbull:v:3:y:2004:i:20:p:1-16 is not listed on IDEAS
  29. Raghbendra Jha & Hari K. Nagarajan, 2002. "Noisy Vertical Markets," ASARC Working Papers 2002-04, The Australian National University, Australia South Asia Research Centre.
  30. Joanna Bruzda & Tomasz, Koźliński, 2005. "Non-linearity and the Purchasing Power Parity Hypothesis for Exchange Rate JPY/USD," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Władysław Milo & Piotr Wdowiński (ed.), Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, edition 1, volume 127, chapter 11, pages 177-193, University of Lodz.
  31. Ana Maria Iregui & Jesus Otero, 2003. "On the dynamics of unemployment in a developing economy: Colombia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 895-898.
  32. Aparicio, Felipe M. & Escribano, Álvaro, 1997. "Searching for linear and nonlinear cointegration: a new approach," DES - Working Papers. Statistics and Econometrics. WS 6219, Universidad Carlos III de Madrid. Departamento de Estadística.
  33. James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Multipliers in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org.
  34. Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
  35. Sei‐Wan Kim & Moon Jung Choi, 2020. "Does Trade Elasticity Vary Across Regimes? New Evidence from Korean Exports, Incorporating Regime Changes," Asian Economic Journal, East Asian Economic Association, vol. 34(4), pages 379-403, December.
  36. Sei‐Wan Kim & Moon Jung Choi & Young‐Min Kim, 2019. "Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region," Asian Economic Journal, East Asian Economic Association, vol. 33(3), pages 253-280, September.
  37. Valerie Herzberg & George Kapetanios & Simon Price, 2003. "Import prices and exchange rate pass-through: theory and evidence from the United Kingdom," Bank of England working papers 182, Bank of England.
  38. Amir Kia, 2005. "Overnight Monetary Policy in the United States: Active or Interest-Rate Smoothing?," Carleton Economic Papers 05-07, Carleton University, Department of Economics, revised Mar 2010.
  39. Muhammad Shahbaz & Naceur Khraief & Mantu Kumar Mahalik, 2020. "Investigating the environmental Kuznets’s curve for Sweden: evidence from multivariate adaptive regression splines (MARS)," Empirical Economics, Springer, vol. 59(4), pages 1883-1902, October.
  40. Amir Kia, 2005. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," Carleton Economic Papers 05-02, Carleton University, Department of Economics.
  41. Kunst, Robert M. & Jumah, Adusei, 2004. "Toward a Theory of Evaluating Predictive Accuracy," Economics Series 162, Institute for Advanced Studies.
  42. Escribano, Alvaro & Pfann, Gerard A., 1998. "Non-linear error correction, asymmetric adjustment and cointegration," Economic Modelling, Elsevier, vol. 15(2), pages 197-216, April.
  43. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany.
  44. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de Estadística.
  45. Karim Maher Abadir, 2004. "Cointegration Theory, Equilibrium and Disequilibrium Economics," Manchester School, University of Manchester, vol. 72(1), pages 60-71, January.
  46. Saikkonen, Pentti, 2005. "Stability results for nonlinear error correction models," Journal of Econometrics, Elsevier, vol. 127(1), pages 69-81, July.
  47. Jesus Otero & Manuel Ramirez, 2002. "On the determinants of the inflation rate in Colombia: a disequilibrium market approach," Borradores de Investigación 3296, Universidad del Rosario.
  48. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2015. "Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di coin," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(2), pages 213-228.
  49. Zhou, Xinquan & Bagnarosa, Guillaume & Gohin, Alexandre & Pennings, Joost M.E. & Debie, Philippe, 2023. "Microstructure and high-frequency price discovery in the soybean complex," Journal of Commodity Markets, Elsevier, vol. 30(C).
  50. Bryan D. Jones & Frank R. Baumgartner & Christian Breunig & Christopher Wlezien & Stuart Soroka & Martial Foucault & Abel François & Christoffer Green‐Pedersen & Chris Koski & Peter John & Peter B. Mo, 2009. "A General Empirical Law of Public Budgets: A Comparative Analysis," American Journal of Political Science, John Wiley & Sons, vol. 53(4), pages 855-873, October.
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