Time-varying threshold cointegration with an application to the Fisher hypothesis

DOI10.1515/SNDE-2018-0101OpenAlexW3133029826MaRDI QIDQ2700542

Lixiong Yang

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0101

zbMATH Keywords

estimationtestingthreshold cointegrationFisher hypothesistime-varying threshold

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Threshold Cointegration
• Sample Splitting and Threshold Estimation
• Threshold Autoregression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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