Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

DOI10.1016/J.STAMET.2015.04.001zbMath1487.62108OpenAlexW2042718557MaRDI QIDQ1731378

Jaya Krishnakumar, David Neto

Publication date: 13 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2015.04.001

zbMATH Keywords

threshold cointegrationcointegration rank testreduced rank estimationTUR models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (1)

Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle

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