Testing for two-regime threshold cointegration in vector error-correction models.

DOI10.1016/S0304-4076(02)00097-0zbMath1044.62092MaRDI QIDQ1858973

Byeongseon Seo, Bruce E. Hansen

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

identificationbootstrapnonlinearterm structurenon-stationarityresidual bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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