Threshold Cointegration: Model Selection with an Application
作者： Peter Sephton , Janelle Mann
DOI:
关键词:
摘要: In this article we examine the performance of an extended approach to testing for threshold cointegration that relies on specification process suggested by Gonzalo and Pitarakis (2002) block-bootstrap unit root test Seo (2008). A topical application demonstrates its merits.
参考文章(29)
Peter Sephton, Consumer Spending and Customer Satisfaction: Untying the Knot Economics Research International. ,vol. 2012, pp. 1- 7 ,(2012) , 10.1155/2012/534209
Anindya Banerjee, Juan Dolado, Ricardo Mestre, Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework Journal of Time Series Analysis. ,vol. 19, pp. 267- 283 ,(1998) , 10.1111/1467-9892.00091
DEOKWOO NAM, The Roles of Nominal Exchange Rate and Relative Price Adjustments in PPP Reversion Journal of Money, Credit and Banking. ,vol. 43, pp. 775- 785 ,(2011) , 10.1111/J.1538-4616.2011.00396.X
Myunghwan Seo, Bootstrap testing for the null of no cointegration in a threshold vector error correction model Journal of Econometrics. ,vol. 134, pp. 129- 150 ,(2006) , 10.1016/J.JECONOM.2005.06.018
Mark J. Holmes, Threshold cointegration and the short-run dynamics of twin deficit behaviour Research in Economics. ,vol. 65, pp. 271- 277 ,(2011) , 10.1016/J.RIE.2010.11.004
Bruno Larue, Jean-Philippe Gervais, Yannick Rancourt, Exchange rate pass-through, menu costs and threshold cointegration Empirical Economics. ,vol. 38, pp. 171- 192 ,(2010) , 10.1007/S00181-009-0261-2
Vicente Esteve, María A. Prats, Threshold cointegration and nonlinear adjustment between stock prices and dividends Applied Economics Letters. ,vol. 17, pp. 405- 410 ,(2010) , 10.1080/13504850701765085
Steven Cook, A threshold cointegration test with increased power Mathematics and Computers in Simulation. ,vol. 73, pp. 386- 392 ,(2007) , 10.1016/J.MATCOM.2006.08.002
Robert J. Myers, T.S. Jayne, Multiple-Regime Spatial Price Transmission with an Application to Maize Markets in Southern Africa American Journal of Agricultural Economics. ,vol. 94, pp. 174- 188 ,(2012) , 10.1093/AJAE/AAR123
Vicente Esteve, Cecilio Tamarit, Threshold cointegration and nonlinear adjustment between CO2 and income: The Environmental Kuznets Curve in Spain, 1857–2007 Energy Economics. ,vol. 34, pp. 2148- 2156 ,(2012) , 10.1016/J.ENECO.2012.03.001