Threshold Cointegration: Model Selection with an Application
In 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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Volume (Year): 56 (2013)
Issue (Month): 2 ()
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