Threshold autoregression with a near unit root

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Threshold autoregression with a near unit root

Author Info

Caner,M.
Hansen,B.E. (University of Wisconsin-Madison, Social Systems Research Institute)

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Paper provided by Wisconsin Madison - Social Systems in its series Working papers with number 27.

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Date of creation: 1998
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Handle: RePEc:att:wimass:199827

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Postal: UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A.

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Paper
- Mehmet Caner & Bruce E. Hansen, 1998. "Threshold Autoregressions with a Near Unit Root," Departmental Working Papers 9821, Bilkent University, Department of Economics.

Cited by:
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Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
Other versions:
- Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis. [Downloadable!]
- Michael Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Department of Economics Working Papers 2006-04, Universidad Torcuato Di Tella. [Downloadable!]
- Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December. [Downloadable!] (restricted)
repec:att:wimass:1919997 is not listed on IDEAS
Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Working Papers 0030, University of Washington, Department of Economics. [Downloadable!]
Other versions:
- Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Discussion Papers in Economics at the University of Washington 0030, Department of Economics at the University of Washington. [Downloadable!]
- Lo, Ming Chien & Zivot, Eric, 2001. "Threshold Cointegration And Nonlinear Adjustment To The Law Of One Price," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 533-576, September. [Downloadable!]
Robert Sollis & Mark E. Wohar, 2006. "The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 139-153. [Downloadable!]

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