COINTEGRATING SMOOTH TRANSITION REGRESSIONS

By Pentti Saikkonen, In Choi. Econometric Theory, 2004

123 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/06aa7afb2214fcd8b2c8e19aff2e1961c978e0e6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Marcelo C. Medeiros
2. H. Bierens
3. Luís F. Martins
4. Álvaro Veiga
5. Giuseppe Cavaliere
6. Alan M. Taylor
7. Matei Demetrescu
8. Robert J. Taylor

In Finance

1. Marcelo C. Medeiros
2. H. Bierens
3. Luís F. Martins
4. Álvaro Veiga
5. Giuseppe Cavaliere
6. Alan M. Taylor
7. Michael Mcaleer
8. Fang Xu

In Statistics and Probability

1. Marcelo C. Medeiros
2. H. Bierens
3. Luís F. Martins
4. Álvaro Veiga
5. Giuseppe Cavaliere
6. Tetsuya Takaishi

Citations in the corpus

• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009, methodology): “For nonstationary transition variables the asymptotic theory should be modified in same spirit of Saikkonen and Choi (2004).”
• Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2013, unknown): “This simple approach to modelling asymmetric cointegration based on partial sum decompositions has been applied by Schorderet (2001) in the context of the nonlinear relationship between unemployment and output.”
• TIME-VARYING COINTEGRATION (2010, methodology): “Also, the Markov-switching approach of Hall, Psaradakis, and Sola (1997) and the smooth transition model of Saikkonen and Choi (2004) provide an interesting way of modeling shifts in the cointegrating vectors.”
• LIMITED TIME SERIES WITH A UNIT ROOT (2005, background): “The reader can refer to Svensson (1993) and Anthony and MacDonald (1998).”
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS (2008, unknown): “…Magdalinos, 2007; and references therein!+ Recent attention ~Park and Phillips, 1999, 2001; de Jong, 2002; Jeganathan, 2003, 2004; Pötscher, 2004; Saikkonen and Choi, 2004! has also been given to the limit behavior of certain types of nonlinear functions of integrated processes+ Results of this…”
• Testing Linearity in Cointegrating Smooth Transition Regressions (2004, unknown): “To this end, we follow Saikkonen (1991) and Saikkonen and Choi (2004) and assume the following: Assumption 6.”