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Nonlinear error correction models

Alvaro Escribano () and Santiago Mira ()
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Santiago Mira: Universidad de Las Palmas de Gran Canaria. Departamento de Análisis Económico Aplicado

Documentos de trabajo conjunto ULL-ULPGC from Facultad de Ciencias Económicas de la ULPGC

Abstract: The relationship between cointegration and error correction models (EC) is well characterized in a linear context, but the extension to the nonlinear context is still a challenge. Few extensions of the linear framework have been done in the context of nonlinear error correction (NEC) or asymmetric and time varying error correction models. In this paper we propose a theoretical framework based on the concept of near epoch dependence (NED) that allows us to formally address these issues. In particular, we partially extend Granger Representation Theorem to the nonlinear case.

Keywords: Cointegration; Nonlinear Error Correction; Near Epoch Dependence (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2001-05
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Journal Article: Nonlinear error correction models (2002) Downloads
Working Paper: Nonlinear error correction models (1997) Downloads
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