Nonlinear error correction models
Alvaro Escribano () and
Santiago Mira ()
Additional contact information
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
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
References: Add references at CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed
Downloads: (external link)
http://www.bibliotecas.ulpgc.es/fcee/hemeroteca/do ... o/doc2/dt2001-03.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.bibliotecas.ulpgc.es:80
Journal Article: Nonlinear error correction models (2002)
Working Paper: Nonlinear error correction models (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:can:series:2001-03
Access Statistics for this paper
More papers in Documentos de trabajo conjunto ULL-ULPGC from Facultad de Ciencias Económicas de la ULPGC
Bibliographic data for series maintained by Patricia Santana ().