ADL tests for threshold cointegration

DOI10.1111/J.1467-9892.2010.00659.XMaRDI QIDQ3103180zbMATH OpenOpenAlexFDO

Authors Jing Li, Junsoo Lee

Publication date 26 November 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://repec-sda.sdstate.edu/repec/sda/pdf/ADL_Threshold_April_2009.pdf

zbMATH Keywords

cointegrationthreshold cointegrationautoregressive distributed lagthreshold error-correction models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Threshold Cointegration
• Wald tests for the presence of threshold effects in cointegrating relationships
• Testing for two-regime threshold cointegration in vector error-correction models.
• A threshold cointegration test with increased power
• Adaptive consistent unit-root tests based on autoregressive threshold model

Cites work

• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• Asymptotic Properties of Residual Based Tests for Cointegration
• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distributions of error correction tests for cointegration
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Multiple Time Series Regression with Integrated Processes
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
• Testing for a unit root in the nonlinear STAR framework
• Testing for an unstable root in conditional and structural error correction models
• Testing for two-regime threshold cointegration in vector error-correction models.
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Threshold Autoregression with a Unit Root
• Threshold Cointegration
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(10)

• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• A proposal of nonlinear cointegration test with the flexible Fourier approach
• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Autoregressive distributed lag models and cointegration
• A threshold cointegration test with increased power
• More powerful Engle-Granger cointegration tests
• Wald tests for the presence of threshold effects in cointegrating relationships
• More powerful cointegration tests with non-normal errors
• Performance of threshold cointegration tests

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