Testing the linearity in threshold co-integrating regression

zbMATH Open1197.62131MaRDI QIDQ3403300FDOQ3403300

Authors: Zheng Yang, Zheng Tian, Zixia Yuan 

Publication date: 12 February 2010

Recommendations

• Threshold Cointegration
• Testing for two-regime threshold cointegration in vector error-correction models.
• Jointly testing linearity and nonstationarity within threshold autoregressions
• Testing linearity in cointegrating smooth transition regressions
• Wald tests for the presence of threshold effects in cointegrating relationships

zbMATH Keywords

SupLM test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (8)

• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• Testing linearity against threshold effects: uniform inference in quantile regression
• A threshold cointegration test with increased power
• Testing for two-regime threshold cointegration in vector error-correction models.
• Wald tests for the presence of threshold effects in cointegrating relationships
• Jointly testing linearity and nonstationarity within threshold autoregressions
• Testing for Threshold Effects in Regression Models
• Testing linearity in cointegrating smooth transition regressions

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