Recommendations
- ADL tests for threshold cointegration
- Testing for two-regime threshold cointegration in vector error-correction models.
- Testing the linearity in threshold co-integrating regression
- Wald tests for the presence of threshold effects in cointegrating relationships
- A threshold cointegration test with increased power
Cited in
(95)- GSA-based maximum likelihood estimation for threshold vector error correction model
- Sieve bootstrapt-tests on long-run average parameters
- Testing for unit root in nonlinear heterogeneous panels
- A non-linear error correction mechanism based on the bilinear model
- Modelling federal reserve discount policy
- On geometric ergodicity of the MTAR process
- The univariate MT-STAR model and a new linearity and unit root test procedure
- Forecasting in nonlinear univariate time series using penalized splines
- Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation
- Computing stock price comovements with a three-regime panel smooth transition error correction model
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Nonlinear joint dynamics between prices of crude oil and refined products
- Testing for two-regime threshold cointegration in vector error-correction models.
- Testing for a unit root in the nonlinear STAR framework
- The effects of small sample bias in threshold autoregressive models
- Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
- Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
- Linearity tests and stochastic trend under the STAR framework
- Financial stress, regime switching and macrodynamics
- Inferential theory for heterogeneity and cointegration in large panels
- Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out
- An alternative procedure to test for cointegration in STAR models
- Threshold factor models for high-dimensional time series
- Unit root tests for ESTAR models
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
- Stability results for nonlinear error correction models
- Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
- Outliers and persistence in threshold autoregressive processes
- Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
- P-star model for India: a nonlinear approach
- Introduction to m-m processes
- Time-varying threshold cointegration with an application to the Fisher hypothesis
- Financial integration in emerging economies: an application of threshold cointegration
- Buffered vector error-correction models: an application to the U.S. Treasury bond rates
- Bootstrap testing for the null of no cointegration in a threshold vector error correction model
- Asymmetry and nonstationarity for a seasonal time series model
- Testing for a unit root against transitional autoregressive models
- Performance of unit-root tests for non linear unit-root and partial unit-root processes
- Nonlinear error correction model and multiple-threshold cointegration
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- The power of unit root tests against nonlinear local alternatives
- Performance of threshold cointegration tests
- Adaptive consistent unit-root tests based on autoregressive threshold model
- The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
- Sir Clive Granger's contributions to nonlinear time series and econometrics
- Vector equilibrium correction models with non‐linear discontinuous adjustments
- Pitfalls in estimating cointegrating vector when cointegration relationship has nonlinear adjust\-ment
- ADL tests for threshold cointegration
- A functional coefficient approach to modeling the Fisher hypothesis: worldwide evidence
- Estimation of nonlinear error correction models
- Testing for a unit root in a stationary ESTAR process
- Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
- Testing the linearity in threshold co-integrating regression
- Wald tests for the presence of threshold effects in cointegrating relationships
- STOCHASTIC UNIT ROOT MODELS
- UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
- Linear cointegration of nonlinear time series with an application to interest rate dynamics
- Tests for nonlinear cointegration
- How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
- STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
- Local unit roots and global stationarity of TARMA models
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Testing and Modeling Multivariate Threshold Models
- Pairs trading with partial cointegration
- A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
- Inference on segmented cointegration
- Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study
- Aggregate consumption spending, the stock market and asymmetric error correction
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Time-varying cointegration
- Pairs trading with partial cointegration
- Testing for cointegration in nonlinear asymmetric smooth transition error correction models
- Spatial price integration in commodity markets with capacitated transportation networks
- An empirical study on the threshold cointegration of Chinese A and H cross-listed shares
- Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Threshold Cointegration and the PPP Hypothesis
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Long memory and regime switching
- A note on stationarity of the MTAR process on the boundary of the stationarity region
- Research on the asymmetric effect of fixed-asset investment on China's primary energy production in the context of energy transformation
- A New Class of Bivariate Threshold Cointegration Models
- A nonlinear panel ARDL analysis of pollution haven/halo hypothesis
- Cointegration with occasionally binding constraints
- Power of unit root tests against nonlinear and noncausal alternatives with an application to the brent crude oil price
- A proposal of nonlinear cointegration test with the flexible Fourier approach
- Likelihood-based inference for cointegration with nonlinear error-correction
- A threshold cointegration test with increased power
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Numerical issues in threshold autoregressive modeling of time series
- Nonlinear mean reversion in the term structure of interest rates
- Markov-switching stochastic trends and economic fluctuations
- Testing for sign and amplitude asymmetries using threshold autoregressions
- Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
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