Performance of threshold cointegration tests

DOI10.1080/00949655.2011.638299MaRDI QIDQ2862378zbMATH OpenOpenAlexFDO

Authors Junsoo Lee, Mark C. Strazicich

Publication date 15 November 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.638299

zbMATH Keywords

threshold cointegrationerror correction modelautoregressive-distributed lag model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• ADL tests for threshold cointegration
• Threshold Cointegration
• A threshold cointegration test with increased power
• Testing for two-regime threshold cointegration in vector error-correction models.
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework

Cites work

• A weighted symmetric cointegration test
• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Nonlinear estimation using estimated cointegrating relations
• Nonlinear minimization estimators in the presence of cointegrating relations.
• Testing for two-regime threshold cointegration in vector error-correction models.
• Threshold Autoregression with a Unit Root
• Threshold Cointegration

Cited in

(2)

• Threshold Cointegration and the PPP Hypothesis
• Testing for cointegration with threshold adjustment in the presence of structural breaks

This page was built for publication: Performance of threshold cointegration tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2862378)