Testing the "Inaction Corridor" in a Three-Regime TVECM
AbstractIn this note, we investigate a test for the existence of a middle "band of inaction" in a three-regime threshold vector error correction model (TVECM). For this purpose we propose a supremum Wald statistic, derive its limiting distribution and calculate its critical values through simulations.
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Bibliographic InfoPaper provided by Département des Sciences Économiques, Université de Genève in its series Research Papers by the Department of Economics, University of Geneva with number 2009.04.
Length: 9 pages
Date of creation: Apr 2009
Date of revision:
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Threshold cointegration; Threshold Unit Root process; Sup-Wald statistic; TVECM;
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