A threshold cointegration test with increased power

DOI10.1016/j.matcom.2006.08.002zbMath1194.91155OpenAlexW2067560917MaRDI QIDQ870443

Steven Cook

Publication date: 12 March 2007

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.08.002

zbMATH Keywords

asymmetryMonte Carlo simulationcointegrationtest powerthreshold adjustment

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Statistical methods; economic indices and measures (91B82)

Related Items

Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

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