110
Views
11
CrossRef citations to date
0
Altmetric
Original Articles

Smooth transition vector error correction models for the spot prices of coffee

Pages 925-928 | Published online: 06 Oct 2010

References

  • Granger , C. W. J. and Teräsvirta , T. 1993 . Modelling Nonlinear Economic Relationships , Oxford : Oxford University Press .
  • Hendry , D. F. and Doornik , J. A. 1997 . Modelling Dynamic Systems Using PcFiml 9.0 for Windows , International Thomson Business Press .
  • Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
  • Rothman , P. , van Dijk , D. and Franses , P. H. 2001 . A multi-variate STAR analysis of the relationship between money and output . Maeroeconomic Dynamics , 5 : 506 – 532 .
  • Teräsvirta , T. 1994 . Specification, estimation, and evaluation of smooth transition autoregressive models . Journal of the American Statistical Association , 89 : 208 – 218 .
  • van Dijk , D. and Franses , P. H. 2000 . “ Nonlinear error-correction models for interest rates in the Netherlands ” . In Nonlinear Econometric Modelling in Time Series Analysis , Edited by: Barnett , W. A. , Hendry , D. F. , Hylleberg , S. , Teräsvirta , T. , Tjostheim , D. and Würtz , A. 203 – 227 . Cambridge : Cambridge University Press .
  • van Dijk , D. , Teräsvirta , T. and Franses , P. H. 2000 . Smooth transition auto regressive models - a survey of recent developments . Econometric Reviews , forthcoming

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.