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Bootstrap testing for the null of no cointegration in a threshold vector error correction model

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Author Info
Seo, Myunghwan

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 134 (2006)
Issue (Month): 1 (September)
Pages: 129-150
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Handle: RePEc:eee:econom:v:134:y:2006:i:1:p:129-150

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  1. Gervais, Jean-Philippe, 2007. "Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain," MPRA Paper 7743, University Library of Munich, Germany, revised 15 Jan 2008. [Downloadable!]
  2. Mauricio Nunes & Sergio Da Silva, 2008. "Explosive and periodically collapsing bubbles in emerging stockmarkets," Economics Bulletin, Economics Bulletin, vol. 3(46), pages 1-18. [Downloadable!]
  3. Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers (in Progress) 22009, South Dakota State University, Department of Economics. [Downloadable!]
  4. Deborah Gefang, 2008. "Revisiting money-output causality from a Bayesian logistic smooth transition VECM perspective," Discussion Papers in Economics 08/5, Department of Economics, University of Leicester. [Downloadable!]
  5. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2007. "A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  6. Holt, Matthew T. & Balagtas, Joseph V., 2009. "Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand," MPRA Paper 15331, University Library of Munich, Germany. [Downloadable!]
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