We analyze the long-run relationship between the world price of crude oil and international
stock markets over 1971: 1–2008: 3 using a cointegrated vector error correction model with …

Purpose of this paper is twofold. It is first to offer a rough overview on the field of threshold
cointegration, from the seminal paper of Balke and Fomby (1997) to the recent …

As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model
(ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction …

We analyze the properties of the conventional Gaussian-based cointegrating rank tests of
Johansen (1996, Likelihood-Based Inference in Cointegrated Vector Autoregressive …

This paper proposes a new framework to analyze the nonstationarity in the time series of
state densities, representing either cross-sectional or intra-period distributions of some …

Model selection and associated issues of post-model selection inference present well
known challenges in empirical econometric research. These modeling issues are manifest …

Abstract The Factor-augmented Error-Correction Model (FECM) generalizes the factor-
augmented VAR (FAVAR) and the Error-Correction Model (ECM), combining error …

Model selection by BIC is well known to be inconsistent in the presence of incidental
parameters. This article shows that, somewhat surprisingly, even without fixed effects in …

This paper studies nonlinear cointegrating models with time-varying coefficients and
multiple nonstationary regressors using classic kernel smoothing methods to estimate the …

We develop versions of the Granger–Johansen representation theorems for I (1) and I (2)
vector autoregressive processes that apply to processes taking values in an arbitrary …