Unit root tests in three‐regime SETAR models

DOI10.1111/j.1368-423X.2006.00184.xzbMath1096.62083MaRDI QIDQ5488515

Yongcheol Shin, George Kapetanios

Publication date: 22 September 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

tables; Monte Carlo simulations; real exchange rates; unit roots; SETAR models; threshold cointegration; dread of depreciation; geometric ergodic processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F03: Parametric hypothesis testing

65C05: Monte Carlo methods

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