Stability results for nonlinear error correction models

70 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.

STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION (2007, methodology): “and Rahbek (2004) and Saikkonen (2005) but only in special cases where the index”
The ACR Model: A Multivariate Dynamic Mixture Autoregression (2008, unknown): “A similar strategy has been used in Bec and Rahbek (2004) and Saikkonen (2005) to establish stationarity of cointegrated relations in non-stationary nonlinear vector autoregressive processes.”
Residual autocorrelation testing for vector error correction models (2006, background): “From Lemma 1 of Saikkonen (2003) and the subsequent discussion it follows that we can”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, methodology): “The proof is based on a model transformation similar to the one in Saikkonen (2005) but requires additional conditions and is technically more complex than its predecessor.”
Stability of nonlinear AR‐GARCH models (2008, unknown): “In an alternative smooth transition GARCH model, suggested by Lanne and Saikkonen (2005), the conditional heteroskedasticity is specified as ht = g (ut−1, ht−1) = ω + αu 2 t−1 + βht−1 + (ω ∗ + β∗ht−1)G(ht−1), (13) where G is again a smooth function with range [0, 1] and the parameters satisfy ω >…”