Functional-coefficient cointegration models

By Zhijie Xiao. 2009

97 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d7b3d6538048bf77c42840c1e004b89451205b78

Citations in the corpus

• Estimating Smooth Structural Change in Cointegration Models (2017, unknown): “Some recent papers including Cai et al (2009), Xiao (2009), Gao and Phillips (2013b) and Li et al (2016) studied a nonlinear cointegrating model with functional coefficients and its generalised version, where the index variable in the functional coefficients is random, and developed the associated…”