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Nonlinear error correction models

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorMira, Santiago
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-12-22T11:52:39Z
dc.date.available2009-12-22T11:52:39Z
dc.date.issued1997-02
dc.description.abstractThe relationship between co integration an error correction models (EC) is well characterized in a linear context, see Engle and Granger (1987) and Johansen (1991), but the extension to the nonlinear context is still a challenge. Few extensions of the linear framework were done in the context of nonlinear error correction (NEC), see Escribano (1986 and 1987), or asymmetric and time varying error correction models, see Granger and Lee (1989) and Burguess (1992). In this paper we propose a theoretical framework based on the concept of near epoch dependece (NED) that allow us to formally address those issues. In particular, we partially extend Granger Representation Theorem to the nonlinear case and we study the estimation and -inference properties of least squares when the co integrating relation is linear but the dynamic model is a NEC. The two-step estimation approach of Engle and Granger (1987) is extended when the co integrating errors are NED and the dynamic model is a NEC. Some potentially useful NEC models are proposed and Monte Carlo simulations are provided.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/6206
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers Statistics and Econometrics
dc.relation.ispartofseries97-26-13
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherCointegration
dc.subject.othernonlinear error correction
dc.subject.othernear epoch dependence
dc.subject.othertwo step least square estimator
dc.titleNonlinear error correction models
dc.typeworking paper*
dspace.entity.typePublication
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