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Likelihood-based inference for cointegration with nonlinear error-correction
Dennis Kristensen,
Anders Christian Rahbek
Department of Economics
13
Citations (Scopus)
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Dive into the research topics of 'Likelihood-based inference for cointegration with nonlinear error-correction'. Together they form a unique fingerprint.
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Business & Economics
Non-linear Error Correction
100%
Cointegration
99%
Stochastic Trend
51%
Inference
47%
Smooth Transition Models
29%
Ergodicity
27%
Representation Theorem
27%
Deterministic Trend
26%
Transfer Function
25%
Asymptotic Normality
25%
Asymptotic Theory
25%
Normality
21%
Vector Error Correction Model
20%
Maximum Likelihood
19%
Simulation Study
18%
Estimator
15%
Short-run
14%