TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS

By George Kapetanios, Yongcheol Shin, Andy Snell. Econometric Theory, 2006

246 citations recorded by the source corpus.

How researchers see this paper

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

What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration (2012, background): “And third, the smooth transition regression ECM (Kapetanios et al., 2006), which considers the threshold ECM as a special case by allowing the transition from one regime to another as a smooth function.”
ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, unknown): “A partial list includes Hansen and Seo (2002), Kapetanios, Shin, and Snell (2006), and Seo (2006).”
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION (2007, background): “Kapetanios, Shin, and Snell (2006) and the references therein).”
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2013, unknown): “…is typically confined to the error correction mechanism and estimation proceeds on the basis of either the threshold ECM associated with Balke and Fomby (1997), the Markov-Switching ECM of Psaradakis et al. (2004) or the smooth transition regression ECM developed by Kapetanios et al. (2006).”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, background): “Compared to (18), the model of Kapetanios et al. (2006) does not contain intercepts, and the lags of ∆wt enter the model linearly.”