Vector equilibrium correction models with non-linear discontinuous adjustments

By F. Bec, Anders Rahbek. 2004

85 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e815f95c8f6cb9c32791779f2bf39a43208d9e09

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In Economics and Econometrics

Citations in the corpus

Unit root vector autoregression with volatility induced stationarity (2014, methodology): “That is,  and hence  is geometrically ergodic, see Tjøstheim (1990), and hence  is, since by definition  = ¡ ⊥⊥  ¢  using (4).”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, methodology): “For example, setting S′ = [Ir 0] gives S′zt−1 = B′yt−1, and one can for example choose hj(S′zt−1, ηt) = I(||B′yt−1|| > c) as in Bec and Rahbek (2004).”
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION (2007, methodology): “ Bec and Rahbek (2004) consider the case where α1 = α3”
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.”
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.”
ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, unknown): “See also reviews by Granger (2001) and Bec and Rahbek (2004).”
Nonparametric estimation in a nonlinear cointegration type model (2007, methodology): “Specific nonlinear cointegration relationships in terms of threshold models have been studied by Hansen and Seo [16] and Bec and Rahbek [3].”