Unit Root Tests in Three-Regime SETAR Models
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More about this item
Keywordsself-exciting threshold autoregressive models; unit roots; globally stationary processes; threshold cointegration; Monte Carlo simulations; real exchange rates; transactions costs; dread of depreciation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-14 (All new papers)
- NEP-ECM-2004-03-14 (Econometrics)
- NEP-ETS-2004-03-14 (Econometric Time Series)
- NEP-IFN-2004-03-14 (International Finance)
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