Threshold autoregressive testing procedures and structural change in cointegrating relationships
AbstractThe finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two series.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2005)
Issue (Month): 53 ()
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Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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