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

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

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 ...