Buffered vector error-correction models: an application to the U.S. Treasury bond rates

DOI10.1515/snde-2019-0047OpenAlexW3091864414MaRDI QIDQ2700572

Philip L. H. Yu, Renjie Lu

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-2019-0047

zbMATH Keywords

bootstrap methodcointegrationthreshold modelvector error-correction modelsupWald test

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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