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L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?

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  • Frédérique Bec
  • Mélika Ben Salem

Abstract

Threshold adjustment of cointegrated processes What do we know about three-regime models? This paper focuses on the threshold cointegration concept as introduced by Balke and Fomby in 1997 within three-regime threshold models. The main goal is to propose an overview of this ever growing literature, stressing not only the recent advances in econometric theory but also its current limits. This is illustrated by an application to the term structure of interest rates, using weekly US data from 1960 to 2003.

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Bibliographic Info

Article provided by Dalloz in its journal Revue d'économie politique.

Volume (Year): Volume 114 (2004)
Issue (Month): 4 ()
Pages: 467-488

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Handle: RePEc:cai:repdal:redp_144_0467

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Web page: http://www.cairn.info/revue-d-economie-politique.htm

Related research

Keywords: threshold cointegration; non-linear error correction model; term structure of interest rates;

References

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  1. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  2. Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers, Pennsylvania State - Department of Economics 4-96-6, Pennsylvania State - Department of Economics.
  3. Sercu, Piet & Uppal, Raman & Van Hulle, Cynthia, 1995. " The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity," Journal of Finance, American Finance Association, American Finance Association, vol. 50(4), pages 1309-19, September.
  4. George Kapetanios & Yongcheol Shin, 2004. "Unit Root Tests in Three-Regime SETAR Models," ESE Discussion Papers 104, Edinburgh School of Economics, University of Edinburgh.
  5. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  6. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(3), pages 304-11, July.
  7. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 69(6), pages 1555-1596, November.
  8. Martin T. Bohl & Pierre L. Siklos, 2004. "The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure," Review of International Economics, Wiley Blackwell, vol. 12(3), pages 495-508, 08.
  9. Pippenger, Michael K & Goering, Gregory E, 1993. "A Note on the Empirical Power of Unit Root Tests under Threshold Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(4), pages 473-81, November.
  10. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
  11. Granger, Clive W J, 1995. "Modelling Nonlinear Relationships between Extended-Memory Variables," Econometrica, Econometric Society, Econometric Society, vol. 63(2), pages 265-79, March.
  12. Evans, Martin D. D. & Lewis, Karen K., 1994. "Do stationary risk premia explain it all?: Evidence from the term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 33(2), pages 285-318, April.
  13. Obstfeld, Maurice & Taylor, Alan M, 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," CEPR Discussion Papers 1672, C.E.P.R. Discussion Papers.
  14. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 110(2), pages 293-318, October.
  15. Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 7(04), pages 567-585, September.
  16. Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, AccessEcon, vol. 6(39), pages 1-6.
  17. Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 3(3), pages 229-39, July.
  18. R. Alton Gilbert, 1985. "Operating procedures for conducting monetary policy," Review, Federal Reserve Bank of St. Louis, issue Feb.
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