Nonlinear cointegration in financial time series 271
- Lee, Y.S., Kim, T.H., Newbold, P.: Spurious nonlinear regressions in econometrics. Eco-
nomics Letters 87, 301–306 (2005) - Park, J.Y., Phillips, P.C.B.: Nonlinear regressions with integrated time series. Econometrica
69, 117–161 (2001) - Pellizzari, P., Pizzi, C., Salmasi, L.: Dynamical cointegration in economic time series. In:
Proceedings of Complex Models and Computational Methods for Estimation and Predic-
tion, pp. 389–394, Cleup, Padua (2005) - Phillips, P.C.B., Ouliaris, S.: Asymptotic properties of residual based tests for cointegra-
tion. Econometrica 58, 165–193 (1990) - Phillips, P.C.B., Ouliaris, S.: Testing for cointegration using principal components meth-
ods. Journal of Economic Dynamics and Control 12, 205–230 (1988) - Robinson, P., Marinucci, D.: Semiparametric frequency domain analysis of fractional
cointegration. In: P. Robinson (ed.) Time Series with Long Memory. Oxford University
Press, Oxford (2003) - Robinson, P.M., Hualde, J.: Cointegration in fractional systems with unknown integration
orders. Econometrica 71, 1727–1766 (2003) - Saikkonen, P.J.: Asymptotically efficient estimation of cointegration regressions. Econo-
metric Theory 7, 1–12 (1991) - Schorderet, Y.: Asymmetric cointegration. Working Paper 2003-01, University of Geneve,
Department of Econometrics (2003) - Stock, J.H., Watson, M.W.: Testing for common trends. Journal of the American Statistical
Association 83, 1097–1107 (1988) - Stock, J.H., Watson, M.W.: A simple estimator of cointegrating vectors in higher order
integrated systems. Econometrica 61, 783–820 (1993) - Strachan, R.W., Inder, B.: Bayesian analysis of the error correction model. Journal of
Econometrics 123, 307–325 (2004)