ADL tests for threshold cointegration
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Publication:3103180
DOI10.1111/j.1467-9892.2010.00659.xzbMath1226.60036MaRDI QIDQ3103180
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
cointegration; threshold cointegration; autoregressive distributed lag; threshold error-correction models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
62M07: Non-Markovian processes: hypothesis testing
Related Items
Cites Work
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