NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)

@article{Escribano2004NONLINEAREC,
  title={NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)},
  author={Alvaro Escribano},
  journal={Macroeconomic Dynamics},
  year={2004},
  volume={8},
  pages={76 - 116}
}
  • A. Escribano
  • Published 30 January 2004
  • Economics
  • Macroeconomic Dynamics
This paper explores single-equation nonlinear error correction (NEC) models with linear and nonlinear cointegrated variables. Within the class of semiparametric NEC models, we use smoothing splines. Within the class of parametric models, we discuss the interesting properties of cubic polynomial NEC models and we show how they can be used to identify unknown threshold points in asymmetric models and to check the stability properties of the long-run equilibrium. A new class of rational polynomial… Expand
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