Testing the linearity in threshold co-integrating regression

MaRDI QIDQ3403300zbMATH OpenFDO

Authors Zheng Yang, Zheng Tian, Zixia Yuan

Publication date 12 February 2010

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)

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

Cited in

(8)

• Testing linearity in cointegrating smooth transition regressions
• 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

This page was built for publication: Testing the linearity in threshold co-integrating regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3403300)