REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY

DOI10.1017/S1365100597004057zbMath0916.90051OpenAlexW2011959723MaRDI QIDQ4233484

Clive W. J. Granger, Pierre L. Siklos

Publication date: 22 April 1999

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1365100597004057

zbMATH Keywords

economic time seriesregime-sensitive cointegration

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

INFERENCE ON SEGMENTED COINTEGRATION ⋮ Aggregate consumption spending, the stock market and asymmetric error correction ⋮ Financial integration in emerging economies: an application of threshold cointegration ⋮ The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment

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