Asymmetry and nonstationarity for a seasonal time series model
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 136 (2007)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Balke, Nathan S & Fomby, Thomas B, 1997.
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.
- Tom Doan, . "RATS programs to replicate Balke-Fomby threshold cointegration," Statistical Software Components RTZ00010, Boston College Department of Economics.
- Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
- Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990.
"Seasonal integration and cointegration,"
Journal of Econometrics,
Elsevier, vol. 44(1-2), pages 215-238.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- J. Breitung & P. H. Franses, 1996.
"On Phillips-Perron Type Tests for Seasonal Unit Roots,"
SFB 373 Discussion Papers
1996,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Breitung, J rg & Franses, Philip Hans, 1998. "On Phillips Perron-Type Tests For Seasonal Unit Roots," Econometric Theory, Cambridge University Press, vol. 14(02), pages 200-221, April.
- Lee, Oesook & Shin, Dong Wan, 2000. "On geometric ergodicity of the MTAR process," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 229-237, July.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1992.
"Seasonal Unit Roots in Aggregate U.S. Data,"
NBER Technical Working Papers
0126, National Bureau of Economic Research, Inc.
- Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
- Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
- Enders, Walter & Granger, C. W. J., 1998.
"Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,"
Staff General Research Papers
1388, Iowa State University, Department of Economics.
- 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, vol. 16(3), pages 304-11, July.
- Tom Doan, . "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
- Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
- Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-44, April.
- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"Testing for two-regime threshold cointegration in vector error-correction models,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 293-318, October.
- Tom Doan, . "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.