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07/12/2023
Stationarity with Occasionally Binding Constraints
This paper studies a class of multivariate threshold autoregressive mode...
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11/17/2022
Cointegration with Occasionally Binding Constraints
In the literature on nonlinear cointegration, a long-standing open probl...
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10/05/2022
The Local to Unity Dynamic Tobit Model
This paper extends local to unity asymptotics to the non-linear setting ...
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02/19/2020
The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics
It has been known since Elliott (1998) that efficient methods of inferen...
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12/19/2018