Wald tests for the presence of threshold effects in cointegrating relationships

zbMATH Open1199.62055MaRDI QIDQ3404952FDOQ3404952

Authors: Zheng Tian, Zheng Yang, Sier Han 

Publication date: 12 February 2010

Recommendations

• Threshold Cointegration
• ADL tests for threshold cointegration
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• Testing the linearity in threshold co-integrating regression
• Jointly testing linearity and nonstationarity within threshold autoregressions

zbMATH Keywords

nonstationarity

Mathematics Subject Classification ID

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) Statistical methods; risk measures (91G70)

Cited In (2)

• Testing the linearity in threshold co-integrating regression
• ADL tests for threshold cointegration

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