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GSA-based maximum likelihood estimation for threshold vector error correction model

  • Yang, Zheng
  • Tian, Zheng
  • Yuan, Zixia
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4NXRMD8-1/2/72369adfd0f3a3a3ffdbf5d00823106a
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 52 (2007)
    Issue (Month): 1 (September)
    Pages: 109-120

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    Handle: RePEc:eee:csdana:v:52:y:2007:i:1:p:109-120
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Baragona, R. & Battaglia, F. & Cucina, D., 2004. "Fitting piecewise linear threshold autoregressive models by means of genetic algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 277-295, September.
    2. 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.
    3. 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.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    6. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
      • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," 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.
    7. Zhou, Xiuqing & Wang, Jinde, 2005. "A genetic method of LAD estimation for models with censored data," Computational Statistics & Data Analysis, Elsevier, vol. 48(3), pages 451-466, March.
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