Threshold Cointegration
From MaRDI portal
Publication:4354680
DOI10.2307/2527284zbMath0885.90029OpenAlexW4235716349MaRDI QIDQ4354680
Nathan S. Balke, Thomas B. Fomby
Publication date: 17 September 1997
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: http://dallasfed.org/assets/documents/research/papers/1992/wp9209.pdf
Related Items (81)
Unnamed Item ⋮ Introduction to m-m processes ⋮ Bootstrap testing for the null of no cointegration in a threshold vector error correction model ⋮ Asymmetry and nonstationarity for a seasonal time series model ⋮ The univariate MT-STAR model and a new linearity and unit root test procedure ⋮ Adaptive consistent unit-root tests based on autoregressive threshold model ⋮ The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity ⋮ A FUNCTIONAL COEFFICIENT APPROACH TO MODELING THE FISHER HYPOTHESIS: WORLDWIDE EVIDENCE ⋮ ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ Testing for a unit root in a stationary ESTAR process ⋮ Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications ⋮ Pairs trading with partial cointegration ⋮ Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach ⋮ SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS ⋮ A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models ⋮ INFERENCE ON SEGMENTED COINTEGRATION ⋮ Testing for cointegration in nonlinear asymmetric smooth transition error correction models ⋮ A non-linear error correction mechanism based on the bilinear model ⋮ Spatial Price Integration in Commodity Markets with Capacitated Transportation Networks ⋮ Forecasting in nonlinear univariate time series using penalized splines ⋮ The effects of small sample bias in threshold autoregressive models ⋮ Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation ⋮ Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests ⋮ Outliers and persistence in threshold autoregressive processes ⋮ Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ P-star model for India: a nonlinear approach ⋮ Local unit roots and global stationarity of TARMA models ⋮ Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study ⋮ Aggregate consumption spending, the stock market and asymmetric error correction ⋮ Time-varying threshold cointegration with an application to the Fisher hypothesis ⋮ Financial integration in emerging economies: an application of threshold cointegration ⋮ Buffered vector error-correction models: an application to the U.S. Treasury bond rates ⋮ An empirical study on the threshold cointegration of Chinese A and H cross-listed shares ⋮ Inferential theory for heterogeneity and cointegration in large panels ⋮ Computing stock price comovements with a three-regime panel smooth transition error correction model ⋮ 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 ⋮ Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes ⋮ UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP ⋮ Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use ⋮ Numerical issues in threshold autoregressive modeling of time series ⋮ Nonlinear mean reversion in the term structure of interest rates ⋮ Markov-switching stochastic trends and economic fluctuations ⋮ Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out ⋮ Testing for sign and amplitude asymmetries using threshold autoregressions ⋮ The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications ⋮ Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle ⋮ Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics ⋮ TESTS FOR NONLINEAR COINTEGRATION ⋮ TIME-VARYING COINTEGRATION ⋮ An alternative procedure to test for cointegration in STAR models ⋮ How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? ⋮ TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS ⋮ Long memory and regime switching ⋮ Nonlinear joint dynamics between prices of crude oil and refined products ⋮ Pairs trading with partial cointegration ⋮ Linearity tests and stochastic trend under the STAR framework ⋮ A note on stationarity of the MTAR process on the boundary of the stationarity region ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS ⋮ Performance of unit-root tests for non linear unit-root and partial unit-root processes ⋮ STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION ⋮ Threshold factor models for high-dimensional time series ⋮ GSA-based maximum likelihood estimation for threshold vector error correction model ⋮ Sieve bootstrapt-tests on long-run average parameters ⋮ Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment ⋮ ADL tests for threshold cointegration ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Unit root tests for ESTAR models ⋮ On geometric ergodicity of the MTAR process ⋮ Testing for unit root in nonlinear heterogeneous panels ⋮ Testing for co-integration and nonlinear adjustment in a smooth transition error correction model ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Financial stress, regime switching and macrodynamics ⋮ Performance of threshold cointegration tests ⋮ Some notes on nonlinear cointegration: A partial review with some novel perspectives ⋮ STOCHASTIC UNIT ROOT MODELS ⋮ Testing for two-regime threshold cointegration in vector error-correction models. ⋮ Testing for a unit root in the nonlinear STAR framework ⋮ Stability results for nonlinear error correction models
This page was built for publication: Threshold Cointegration