Bootstrap testing for the null of no cointegration in a threshold vector error correction model

DOI10.1016/j.jeconom.2005.06.018zbMath1418.62354MaRDI QIDQ278046

Myung Hwan Seo

Publication date: 2 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.018

zbMATH Keywords

bootstrap; cointegration; threshold cointegration; threshold vector error correction model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

60F17: Functional limit theorems; invariance principles

Related Items

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Likelihood-based inference for cointegration with nonlinear error-correction, Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap, Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships, An alternative procedure to test for cointegration in STAR models, Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach, P-star model for India: a nonlinear approach, Performance of threshold cointegration tests, ADL tests for threshold cointegration, ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS, UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP, A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL

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