Nonlinear error correction models

By Alvaro Escribano, Santiago Mira. 2002

84 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/34cd8e5736940bccc53e6432d3bc5ec48b34699d

Citations in the corpus

• A General Empirical Law of Public Budgets: A Comparative Analysis (2009, unknown): “But they are a special case of non-linear error correction models—they lead to much larger deviations before the “error” is corrected than the more typical model (Escribano and Miar 2002).”
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION (2007, unknown): “and White (2000), Escribano and Mira (2002) , Bec and Rahbek (2004), Escribano”
• Nonparametric estimation in a nonlinear cointegration type model (2007, unknown): “, [8, 12]), but to our knowledge, the properties of the resulting nonparametric estimates have not been established (see [27] for a consistency property in a simplified situation, though).”
• Vector equilibrium correction models with non-linear discontinuous adjustments (2004, unknown): “Escribano and Mira (2002) consider the different case where (17) is replaced by g(ß'Xt) + Σϊζΐ Γ, ΔΧ,-,, where g : Kr —>· W is smooth (differentiable) and satisfies a Lipschitz-type condition.”