Performance of threshold cointegration tests

DOI10.1080/00949655.2011.638299zbMath1431.62285OpenAlexW2137724096MaRDI QIDQ2862378

Jing Li, Junsoo Lee, Mark C. Strazicich

Publication date: 15 November 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.638299

zbMATH Keywords

threshold cointegrationerror correction modelautoregressive-distributed lag model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Cites Work

• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• Nonlinear minimization estimators in the presence of cointegrating relations.
• Testing for two-regime threshold cointegration in vector error-correction models.
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• A weighted symmetric cointegration test
• Threshold Cointegration
• Threshold Autoregression with a Unit Root
• Nonlinear estimation using estimated cointegrating relations

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