Title of article
A non-linear error correction mechanism based on the bilinear model
Author/Authors
David Peel، نويسنده , , James Davidson، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
6
From page
165
To page
170
Abstract
This paper proposes a new non-linear error correction mechanism motivated by the bilinear model, which can approximate a wide class of non-linear cointegrated systems, and in particular can capture abrupt changes in the speed of adjustment in the face of shocks. Illustrative empirical results are reported for two data sets.
Keywords
cointegration , Bilinear model , Consumption , Non-linear dynamics , Exchange rates
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434489
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