ADL tests for threshold cointegration
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
References listed on IDEAS
- 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 627-645, August.
- Balke, Nathan S. & Fomby, Thomas B., 1992. "Threshold cointegration," Working Papers 9209, Federal Reserve Bank of Dallas.
- 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.
- Tom Doan, "undated". "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
- Enders, Walter & Siklos, Pierre L, 2001.
"Cointegration and Threshold Adjustment,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 19(2), pages 166-176, April.
- Enders, Walter & Siklos, Pierre L., 1998. "Cointegration and Threshold Adjustment," ISU General Staff Papers 199810010700001306, Iowa State University, Department of Economics.
- Tom Doan, "undated". "ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect," Statistical Software Components RTS00064, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration," Statistical Software Components RTZ00053, Boston College Department of Economics.
- Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
- repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
- Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992.
"The Power of Cointegration Tests,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
- Jeroen J. M. Kremers & Neil R. Ericsson & Juan J. Dolado, 1992. "The power of cointegration tests," International Finance Discussion Papers 431, Board of Governors of the Federal Reserve System (U.S.).
- P. C. B. Phillips & S. N. Durlauf, 1986.
"Multiple Time Series Regression with Integrated Processes,"
Review of Economic Studies,
Oxford University Press, vol. 53(4), pages 473-495.
- Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
- Neil R. Ericsson & James G. MacKinnon, 2002.
"Distributions of error correction tests for cointegration,"
Econometrics Journal,
Royal Economic Society, vol. 5(2), pages 285-318, June.
- Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Hansen, Bruce E., 1992.
"Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends,"
Journal of Econometrics,
Elsevier, vol. 53(1-3), pages 87-121.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
- Tom Doan, "undated". "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
- Tom Doan, "undated". "POTESTRESIDS: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration on 1st stage residuals," Statistical Software Components RTS00248, Boston College Department of Economics.
- Tom Doan, "undated". "POTEST: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration," Statistical Software Components RTS00247, Boston College Department of Economics.
- Hendry, David F. & Ericsson, Neil R., 1991.
"Modeling the demand for narrow money in the United Kingdom and the United States,"
European Economic Review,
Elsevier, vol. 35(4), pages 833-881, May.
- David F. Hendry & Neil R. Ericsson, 1990. "Modeling the demand for narrow money in the United Kingdom and the United States," International Finance Discussion Papers 383, Board of Governors of the Federal Reserve System (U.S.).
- Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-277, August.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometrica,
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
- Mehmet Caner & Bruce E. Hansen, 2001.
"Threshold Autoregression with a Unit Root,"
Econometrica,
Econometric Society, vol. 69(6), pages 1555-1596, November.
- Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometrica,
Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Hansen, Bruce E., 1995.
"Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power,"
Econometric Theory,
Cambridge University Press, vol. 11(05), pages 1148-1171, October.
- Bruce E. Hansen, 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Boston College Working Papers in Economics 300., Boston College Department of Economics.
- Zivot, Eric, 2000. "The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified," Econometric Theory, Cambridge University Press, vol. 16(03), pages 407-439, June.
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometrica,
Econometric Society, vol. 64(2), pages 413-430, March.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- 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.
- Peter S. Sephton, 2003. "Spatial Market Arbitrage and Threshold Cointegration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(4), pages 1041-1046.
- Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics,
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Michael, Panos & Nobay, A Robert & Peel, David A, 1997.
"Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation,"
Journal of Political Economy,
University of Chicago Press, vol. 105(4), pages 862-879, August.
- Tom Doan, "undated". "RATS programs to replicate Michael-Nobay-Peel ESTAR models," Statistical Software Components RTZ00113, Boston College Department of Economics.
- Hansen, Bruce E., 2000.
"Testing for structural change in conditional models,"
Journal of Econometrics,
Elsevier, vol. 97(1), pages 93-115, July.
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
- Tom Doan, "undated". "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components RTZ00089, Boston College Department of Economics.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometrica,
Econometric Society, vol. 62(6), pages 1383-1414, November.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Mark E. Wohar & Nathan S. Balke, 1998.
"Nonlinear dynamics and covered interest rate parity,"
Empirical Economics,
Springer, vol. 23(4), pages 535-559.
- Balke, Nathan S. & Wohar, Mark E., 1997. "Nonlinear dynamics and covered interest rate parity," Working Papers 9701, Federal Reserve Bank of Dallas.
- Eric Zivot, 1996. "The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified," Econometrics 9612001, EconWPA.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
- Michael Pippenger & Gregory Goering, 2000. "Additional results on the power of unit root and cointegration tests under threshold processes," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 641-644.
- Enders, Walter & Granger, Clive W J, 1998.
"Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(3), pages 304-311, July.
- Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers Archive 1388, Iowa State University, Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
- Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
- Phillips, Peter C B & Ouliaris, S, 1990.
"Asymptotic Properties of Residual Based Tests for Cointegration,"
Econometrica,
Econometric Society, vol. 58(1), pages 165-193, January.
- Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
- Boswijk, Peter & Franses, Philip Hans, 1992. "Dynamic Specification and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 369-381, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- repec:ibn:ijefaa:v:9:y:2017:i:11:p:118-127 is not listed on IDEAS
- Asier Minondo & Francisco Requena, 2012.
"Exporters' characteristics and the margins of trade,"
Economics and Business Letters,
Oviedo University Press, vol. 1(2), pages 10-15.
- Asier Minondo & Francisco Requena-Silvente, 2011. "Exporters' characteristics and the margins of trade," Working Papers 1117, Department of Applied Economics II, Universidad de Valencia.
- Tsangyao Chang & Chia-hao Lee & Pei-I Chou, 2011. "Purchasing power parity in G-7 countries: Further evidence based on ADL test for threshold cointegration," Economics Bulletin, AccessEcon, vol. 31(2), pages 1172-1182.
- 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.
- Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014.
"Real interest rate persistence in South Africa: evidence and implications,"
Economic Change and Restructuring,
Springer, vol. 47(1), pages 41-62, February.
- Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 201204, University of Pretoria, Department of Economics.
- Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 17/2012, Stellenbosch University, Department of Economics.
- Wen-Yi Chen, 2013. "Does Housing Cost Affect Birth Rates in Taiwan? The ADL Test for Threshold Co-integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 90-103, October.
- Yifei Cai, 2017. "Nonlinear Analysis of Economic Growth, Public Debt and Policy Tools," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(1), pages 99-108, January.
- repec:bla:obuest:v:79:y:2017:i:1:p:1-24 is not listed on IDEAS
- repec:eme:jespps:v:43:y:2016:i:4:p:646-660 is not listed on IDEAS
- Dong-Yop Oh & Hyejin Lee & Karl David Boulware, 2016. "Conventional monetary policy and the degree of interest rate pass through in the long run: a non-normal approach," Wesleyan Economics Working Papers 2016-002, Wesleyan University, Department of Economics.
- Cai, Yifei, 2016.
"货币供给数量、结构与经济增长—来自adl门限协整检验与时变格兰杰因果关系检验的证据
[Quantity and Structure of Money Supply and Economic Growth— Evidence from ADL Test for Threshold Cointegration and Time-varying Granger Causality Relation," MPRA Paper 73750, University Library of Munich, Germany. - Burak Güriş & Yaşar Yaşgül, 2015. "Does the Fisher hypothesis hold for the G7 countries? Evidence from ADL threshold cointegration test," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(6), pages 2549-2557, November.
- Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE, 2015. "Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 27-38, September.
- Selahattin GURIS & Burak GURIS & Turgut UN, 2016. "Interest Rates, Fisher Effect And Economic Development In Turkey, 1989-2011," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 25(2), pages 95-100.
- Lee Hyejin & Lee Junsoo & Im Kyungso, 2015. "More powerful cointegration tests with non-normal errors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 397-413, September.
- Cai, Yifei, 2016.
"经济增长与政府债务的非线性研究及其政策治理
[Nonlinear Analysis of Economic Growth and Public Debt and Policy Governance]," MPRA Paper 72783, University Library of Munich, Germany. - Bahmani-Oskooee, Mohsen & Chang, Tsangyao & Yang, Ming-Hsien & Yang, Hong-Lǜe, 2016. "Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration," Economic Analysis and Policy, Elsevier, vol. 51(C), pages 86-89.
- repec:eee:ecmode:v:67:y:2017:i:c:p:114-124 is not listed on IDEAS
- Tsangyao Chang & Chia-hao Lee & Guochen Pan, 2012. "Purchasing Power Parity in African Countries: Further Evidence based on the ADL Test for Threshold Cointegration," Economics Bulletin, AccessEcon, vol. 32(1), pages 220-228.
More about this item
Keywords
Econometric Theory; Time Series;JEL classification:
- 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
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2009-09-26 (All new papers)
- NEP-ECM-2009-09-26 (Econometrics)
- NEP-ETS-2009-09-26 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sda:workpa:22009. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Davis). General contact details of provider: http://edirc.repec.org/data/edsdsus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.