A threshold model for the spread

DOI10.1515/snde-2020-0007OpenAlexW4281869084WikidataQ114133128 ScholiaQ114133128MaRDI QIDQ6039123

Dimitris Hatzinikolaou, Georgios Sarigiannidis

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0007

zbMATH Keywords

thresholdspreadmacroeconomic risk

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Maximum Likelihood Estimation of Misspecified Models
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