Wald tests for the presence of threshold effects in cointegrating relationships

MaRDI QIDQ3404952zbMATH OpenFDO

Authors Zheng Tian, Zheng Yang, Sier Han

Publication date 12 February 2010

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)

Recommendations

• Threshold Cointegration
• ADL tests for threshold cointegration
• Testing for two-regime threshold cointegration in vector error-correction models.
• Testing the linearity in threshold co-integrating regression
• Jointly testing linearity and nonstationarity within threshold autoregressions

Cited in

(2)

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

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