Neil R. Ericsson, James G. MacKinnon, Distributions of error correction tests for cointegration, The Econometrics Journal, Vol. 5, No. 2 (2002), pp. 285-318 ...

Myung Hwan Seo, ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS, Econometric Theory, Vol. 27, No. 2 (April 2011), pp. 201-234 ...

Such an approach involves dealing with the nonstationarity of economic time series and cointegration issues. Hence, when the model is estimated, the probability of default can be simulated by ...

It has been brought to our attention that the paper ‘A realistic approach for estimating and modelling loss given default' by Rakesh Malkani, which was published in The Journal of Risk Model ...

Through the use of a multivariate cointegration and error-correction model, this study investigates the short- and long-run relationship over the past two decades between fiscal expenditure policy and ...

The course focuses on five aspects of empirical model building and forecasting: data and model properties, including stationarity, non-stationarity and cointegration; ...