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Testing for Neglected Nonlinearity in Long Memory Models. (2002). Kapetanios, George.
In: Working Papers.
RePEc:qmw:qmwecw:474.

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Cited: 2

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Cites: 13

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  1. Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity. (2005). Smallwood, Aaron.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:9:y:2005:i:2:n:7.

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  2. Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity. (2004). Smallwood, Aaron.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:23.

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References

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  1. (2002b): “Testing for a Unit Root against Threshold Nonlinearity,” Working Paper no. 465, Queen Mary, University of London.
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  2. Chortareas, G., G. Kapetanios, and Y. Shin (2002): “Nonlinear Mean Reversion in Real Exchange Rates,” Economics Letters, Forthcoming.

  3. Fan, J., and I. Gijbels (1996): Local Polynomial Modelling and Its Applications. Chapman and Hall.
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  4. Gallant, R., P. Rossi, and G. Tauchen (1993): “Nonlinear Dynamic Structures,” Econometrica, 61, 871–907.

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  7. Kapetanios, G., A. Snell, and Y. Shin (2002): “Testing for a Unit Root in the Nonlinear STAR Framework,” Journal of Econometrics, Forthcoming.
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  8. Koop, G., M. H. Pesaran, and S. Potter (1996): “Impulse Response Analysis in Nonlinear Multivariate Models,” Journal of Econometrics, 74, 119–147.

  9. Lavergne, P., and Q. H. Vuong (1996): “Nonparametric Selection of Regressors: The Nonnested Case,” Econometrica, 64, 207–219.

  10. Pagan, A., and A. Ullah (1999): Nonparametric Econometrics. Cambridge University Press.

  11. Pesaran, M. H., and S. Potter (1997): “A Floor and Ceiling Model of U.S. Output,” Journal of Economic Dynamics and Control, 21(4–5), 661–696.
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  12. Shintani, M. (2002): “A Nonparametric Measure of Convergence Towards Purchasing Power Parity,” Mimeo.
    Paper not yet in RePEc: Add citation now

  13. Tweedie, R. L. (1975): “Sufficient Conditions for Ergodicity and Recurrence of Markov Chains on a General State Space,” Stochastic Processes Appl., 3, 385–403.

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