Co-summability from linear to non-linear co-integration
Year: 2011
Type: dissertation
Abstract: This thesis opens a new set of econometric possibilities in the study of non-linear \nlong run relationships generalizing co-integration theory. This generalization is presented in three \ndi¤erent, although self-contained, chapters. Chapter 1 presents the order of summability and its \nassociated econometric tools. Chapter 2 develops the ideas of balancedness and co-summability \nas well as the econometric theory to use them in practice. Their applicability is shown with two \nempirical illustrations: asymmetric preferences of central bankers and the environmental Kuznets \ncurve. Chapter 3 derives the threshold present value model for asset pricing and tests it using the \ntechniques developed in the two previous chapters. The corresponding appendices, collecting all the \nproofs, are at the end of each chapter
Author: Vanessa Berenguer‐Rico
Language: English
Domain: Social Sciences
Open Access status: green
Award: G1686329421
OpenAlex ID: W2170462053