Unit Root Test In A Threshold Autoregression: Asymptotic Theory And Residual-Based Block Bootstrap
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- Myunghwan Seo, 2004. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," Econometric Society 2004 North American Summer Meetings 494, Econometric Society.
- Seo, Myung Hwan, 2005. "Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap," LSE Research Online Documents on Economics 6836, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
- Efstathios Paparoditis & Dimitris N. Politis, 2003. "Residual-Based Block Bootstrap for Unit Root Testing," Econometrica, Econometric Society, vol. 71(3), pages 813-855, May.
- Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, July.
- Pippenger, Michael K & Goering, Gregory E, 1993. "A Note on the Empirical Power of Unit Root Tests under Threshold Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(4), pages 473-481, November.
- Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(04), pages 489-500, December.
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- Kim, Bong-Han & Min, Hong-Ghi & Moh, Young-Kyu, 2010. "Nonlinear dynamics in exchange rate deviations from the monetary fundamentals: An empirical study," Economic Modelling, Elsevier, vol. 27(5), pages 1167-1177, September.
- Peter Sephton & Janelle Mann, 2013. "Threshold Cointegration: Model Selection with an Application," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 56(2), pages 54-77.
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"A century of purchasing power parity confirmed: The role of nonlinearity,"
Journal of International Money and Finance,
Elsevier, vol. 29(7), pages 1398-1405, November.
- Kim, Hyeongwoo & Moh, Young-Kyu, 2009. "A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity," MPRA Paper 17488, University Library of Munich, Germany.
- Mann, Janelle & Sephton, Peter, 2016. "Global relationships across crude oil benchmarks," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 1-5.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94 Edward Elgar Publishing.
- Peter Sephton & Janelle Mann, 2015. "Nonlinear attractors and asymmetries between non-life insurance premiums and financial markets," Empirical Economics, Springer, vol. 49(3), pages 783-799, November.
- Thanabalasingam Vinayagathasan, 2013. "Monetary Policy and the Real Economy: A Structural VAR Approach for Sri Lanka," GRIPS Discussion Papers 13-13, National Graduate Institute for Policy Studies.
- Mann, Janelle M., 2013. "Is there a Global Relationship Across Crude Oil Benchmarks?," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150368, Agricultural and Applied Economics Association.
- Peter Sephton & Janelle Mann, 2016. "Compelling Evidence of an Environmental Kuznets Curve in the United Kingdom," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 64(2), pages 301-315, June.
- repec:bok:journl:v:18:y:2012:i:4:p:1-22 is not listed on IDEAS
- repec:taf:jnlbes:v:35:y:2017:i:2:p:250-264 is not listed on IDEAS
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017.
"Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 35(2), pages 250-264, April.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models," Tinbergen Institute Discussion Papers 15-019/III, Tinbergen Institute.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
- Sephton, Peter & Mann, Janelle, 2013. "Further evidence of an Environmental Kuznets Curve in Spain," Energy Economics, Elsevier, vol. 36(C), pages 177-181.
- Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," The School of Economics Discussion Paper Series 0915, Economics, The University of Manchester.
- Hyeongwoo Kim & Young-Kyu Moh, 2012.
"The Yen Real Exchange Rate May Not be Stationary After All: New Evidence from Non-linear Unit-Root Tests,"
Economic Analysis (Quarterly),
Economic Research Institute, Bank of Korea, vol. 18(4), pages 1-22, December.
- Hyeongwoo Kim & Young-Kyu Moh, 2012. "The Yen Real Exchange Rate May Not Be Stationary After All: New Evidence from Non-linear Unit-Root Tests," Auburn Economics Working Paper Series auwp2012-02, Department of Economics, Auburn University.
- Daiki Maki & Shin-ichi Kitasaka, 2015. "Residual-based tests for cointegration with three-regime TAR adjustment," Empirical Economics, Springer, vol. 48(3), pages 1013-1054, May.
More about this item
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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