STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
By Pentti Saikkonen. Econometric Theory, 2007
50 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/1086d7d54c8dfbc0353d8936dd7de2c54cba4337
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In Economics and Econometrics
- K. Hubrich
- Timo Teräsvirta
- Yukai Yang
- Pentti Saikkonen
- In Choi
- N. Ngepah
- Maxwell Chukwudi Udeagha
- Muhammad Shahbaz
Citations in the corpus
- Linearity and misspecification tests for vector smooth transition regression models (2014, methodology): “For a discussion of stability (but not stationarity) results for a class of vector nonlinear models including the LVSTAR model with Gt ≡ g(st|γ, c)Ip, see Saikkonen (2008).”
- THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, background): “Conditions for stationarity and ergodicity of nonstationary STVEC models can be found as special cases of the general nonstationary model introduced 12 in Saikkonen (2008).”
- TESTS FOR NONLINEAR COINTEGRATION (2009, background): “Perhaps the best-known example of this approach manifests itself in the concept of threshold cointegration and its smooth versions studied by Balke and Fomby (1997), Hansen and Seo (2002), Bec and Rahbek (2004), and Saikkonen (2008), to mention only a few.”
- Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2013, unknown): “…Asymmetric Cointegration and Dynamic Multipliers. . . 285 In practice, however, selection of the regime-switching variables and the transition functional forms may be non-trivial.3 Hence, the development of an operational model of this form is likely to be highly challenging (cf. Saikkonen 2008).”
- The asymmetric effect of trade openness on economic growth in South Africa: a nonlinear ARDL approach (2020, background): “Hence, the development of an operational model of this form is likely to be highly challenging (Saikkonen 2008).”
- Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (2014, background): “Stationarity of vector nonlinear models is discussed in Saikkonen (2008).”