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Threshold Cointegration - MaRDI portal

Threshold Cointegration

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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




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-- Impact of fossil fuels on electricity prices in the light of increased renewable generationTesting the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear testsOutliers and persistence in threshold autoregressive processesModeling threshold effects in stock price co-movements: a vector nonlinear cointegration approachP-star model for India: a nonlinear approachLocal unit roots and global stationarity of TARMA modelsPartial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation studyAggregate consumption spending, the stock market and asymmetric error correctionTime-varying threshold cointegration with an application to the Fisher hypothesisFinancial integration in emerging economies: an application of threshold cointegrationBuffered vector error-correction models: an application to the U.S. Treasury bond ratesAn empirical study on the threshold cointegration of Chinese A and H cross-listed sharesInferential theory for heterogeneity and cointegration in large panelsComputing stock price comovements with a three-regime panel smooth transition error correction modelTesting for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationshipsSmall sample improvements in the threshold cointegration test using residual-based moving block bootstrapTesting for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processesUNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAPSome Nonlinear Threshold Autoregressive Time Series Models for Actuarial UseNumerical issues in threshold autoregressive modeling of time seriesNonlinear mean reversion in the term structure of interest ratesMarkov-switching stochastic trends and economic fluctuationsPricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-outTesting for sign and amplitude asymmetries using threshold autoregressionsThe performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applicationsAdaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzleClarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction modelLinear Cointegration of Nonlinear Time Series with an Application to Interest Rate DynamicsTESTS FOR NONLINEAR COINTEGRATIONTIME-VARYING COINTEGRATIONAn alternative procedure to test for cointegration in STAR modelsHow 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 MODELSLong memory and regime switchingNonlinear joint dynamics between prices of crude oil and refined productsPairs trading with partial cointegrationLinearity tests and stochastic trend under the STAR frameworkA note on stationarity of the MTAR process on the boundary of the stationarity regionLikelihood-based inference for cointegration with nonlinear error-correctionTESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELSPerformance of unit-root tests for non linear unit-root and partial unit-root processesSTABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATIONThreshold factor models for high-dimensional time seriesGSA-based maximum likelihood estimation for threshold vector error correction modelSieve bootstrapt-tests on long-run average parametersPitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear AdjustmentADL tests for threshold cointegrationA REVIEW OF SYSTEMS COINTEGRATION TESTSUnit root tests for ESTAR modelsOn geometric ergodicity of the MTAR processTesting for unit root in nonlinear heterogeneous panelsTesting for co-integration and nonlinear adjustment in a smooth transition error correction modelThe power of unit root tests against nonlinear local alternativesFinancial stress, regime switching and macrodynamicsPerformance of threshold cointegration testsSome notes on nonlinear cointegration: A partial review with some novel perspectivesSTOCHASTIC UNIT ROOT MODELSTesting for two-regime threshold cointegration in vector error-correction models.Testing for a unit root in the nonlinear STAR frameworkStability results for nonlinear error correction models




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