Bootstrap testing for the null of no cointegration in a threshold vector error correction model

DOI10.1016/j.jeconom.2005.06.018zbMath1418.62354OpenAlexW2019681880MaRDI QIDQ278046

Myung Hwan Seo

Publication date: 2 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.018

zbMATH Keywords

bootstrapcointegrationthreshold cointegrationthreshold vector error correction model

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) Functional limit theorems; invariance principles (60F17)

Related Items (12)

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ P-star model for India: a nonlinear approach ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap ⋮ UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP ⋮ A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL ⋮ An alternative procedure to test for cointegration in STAR models ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ ADL tests for threshold cointegration ⋮ Performance of threshold cointegration tests

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