Threshold Cointegration: Model Selection with an Application
AbstractIn this article we examine the performance of an extended approach to testing for threshold cointegration that relies on the threshold specification process suggested by Gonzalo and Pitarakis (2002) and the block-bootstrap threshold unit root test of Seo (2008). A topical application demonstrates its merits.
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Bibliographic InfoArticle provided by Economics and Econometrics Research Institute (EERI), Brussels in its journal Journal of Economics and Econometrics.
Volume (Year): 56 (2013)
Issue (Month): 2 ()
Threshold cointegration; block bootstrapping; model selection criteria.;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- F35 - International Economics - - International Finance - - - Foreign Aid
- O23 - Economic Development, Technological Change, and Growth - - Development Planning and Policy - - - Fiscal and Monetary Policy in Development
- O55 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Africa
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