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TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR ...

Dennis Kristensen, Anders Rahbek, TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Econometric Theory, Vol. 29, No. 6 (December 2013), pp. 1238-1288 ...
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AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS

Zhipeng Liao, Peter C. B. Phillips, AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS, Econometric Theory, Vol. 31, No. 3 (June 2015), pp. 581-646 ...