Citations for "Bootstrap testing for the null of no cointegration in a threshold vector error correction model"
by Seo, Myunghwan
- Nolte, Stephan & Natanelov, Valeri & Buysse, Jeroen & van Huylenbroeck, Guido, 2012. "Price Transmission in the German Sugar Market," 2012 Conference (56th), February 7-10, 2012, Freemantle, Australia 124351, Australian Agricultural and Resource Economics Society.
- Ahmed, Osama & Serra, Teresa, 2015. "Evaluate the economic consequences of revenue insurance programs in Spain using copula models. The case of orange and apple," 2015 Conference, August 9-14, 2015, Milan, Italy 212522, International Association of Agricultural Economists.
- Mengel, Carolin & von Cramon-Taubadel, Stephan, 2014. "Proximity and price co-movement in West African rice markets," Discussion Papers 170989, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development.
- Maki, Daiki, 2010. "An alternative procedure to test for cointegration in STAR models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(5), pages 999-1006.
- Jean-Philippe Gervais, 2011.
"Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain,"
Taylor & Francis Journals, vol. 43(12), pages 1497-1510.
- Gervais, Jean-Philippe, 2007. "Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain," MPRA Paper 7743, University Library of Munich, Germany, revised 15 Jan 2008.
- David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.
- Nasreldin, Osama Ahmed & Devesa, Teresa Serra, 2014. "Price volatility of food staples. The case of millet in Niger," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182728, European Association of Agricultural Economists.
- Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, 02.
- Gotz, Linde & Qiu, Feng & Glauben, Thomas, 2012. "The Law of One Price under State-Dependent Policy Intervention: An Application to the Ukrainian Wheat Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124904, Agricultural and Applied Economics Association.
- Krauss, Christopher & Herrmann, Klaus & Teis, Stefan, 2015. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts," FAU Discussion Papers in Economics 11/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Huang, Bwo-Nung & Yang, C.W. & Hwang, M.J., 2009. "The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach," Energy Economics, Elsevier, vol. 31(1), pages 91-98, January.
- Jaya Krishnakumar & David Neto, 2009. "Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2009.01, Institut d'Economie et Econométrie, Université de Genève.
- Woo, Kai-Yin & Lee, Shu-Kam & Chan, Alan, 2014. "Non-linear adjustments to intranational PPP," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 360-371.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- 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.
- 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.
- Enders, Walter & Im, Kyung So & Lee, Junsoo & Strazicich, Mark C., 2010. "IV threshold cointegration tests and the Taylor rule," Economic Modelling, Elsevier, vol. 27(6), pages 1463-1472, November.
- Ahmed, Osama & Serra, Teresa, 2015. "Vertical Price Transmission in the Egyptian Tomato Sector After the Arab Spring," 2015 Conference, August 9-14, 2015, Milan, Italy 212523, International Association of Agricultural Economists.
- Huber Florian, 2016. "Forecasting exchange rates using multivariate threshold models," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 193-210, January.
- Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Matthew T. Holt & Joseph V. Balagtas, 2009.
"Estimating Structural Change with Smooth Transition Regressions: An Application to Meat Demand,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 91(5), pages 1424-1431.
- Holt, Matthew T. & Balagtas, Joseph V., 2009. "Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand," MPRA Paper 15331, University Library of Munich, Germany.
- Su, Chi-Wei & Chang, Hsu-Ling & Chang, Tsangyao & Yin, Kedong, 2014. "Monetary convergence in East Asian countries relative to China," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 228-237.
- 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.
- Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
- Kouyate, Carolin & von Cramon-Taubadel, Stephan & Fofana, Ismael, 2016. "Proximity and price co-movement in West African rice markets," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 11(3), pages -, September.
- Götz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2013. "Export Restrictions and Multiple Spatial Price Equilibria: Export Quotas for Wheat in Ukraine," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156135, German Association of Agricultural Economists (GEWISOLA).
- Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2008. "Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(4), pages 507-513.
- Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
- Gotz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2012. "Export Restrictions And Multiple Spatial Price Equilibria When International Prices Spike: Export Quotas For Wheat In Ukraine," 2012: New Rules of Trade?, December 2012, San Diego, California 143179, International Agricultural Trade Research Consortium.
- Sergio Da Silva & Mauricio Nunes, 2008. "Explosive and periodically collapsing bubbles in emerging stockmarkets," Economics Bulletin, AccessEcon, vol. 3(46), pages 1-18.
- Jaya Krishnakumar & David Neto, 2009. "Testing Uncovered Interest Rate Parity and Term Structure using Three-Regime Threshold Unit Root VECM," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2009.06, Institut d'Economie et Econométrie, Université de Genève.
- Jiang, Chun & Li, Xiao-Lin & Chang, Hsu-Ling & Su, Chi-Wei, 2013. "Uncovered interest parity and risk premium convergence in Central and Eastern European countries," Economic Modelling, Elsevier, vol. 33(C), pages 204-208.
- Natanelov, Valeri & Alam, Mohammad Jahangir & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil?," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114626, European Association of Agricultural Economists.
- Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
- Mohcine Bakhat & Klaas WŸrzburg, 2013. "Co-integration of Oil and Commodity Prices: A Comprehensive ApproachAbstract," Working Papers fa05-2013, Economics for Energy.
- Araujo-Enciso, Sergio Rene, 2012. "Testing for linear and threshold cointegration under the spatial equilibrium condition," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122545, European Association of Agricultural Economists.
- Mohammad Mirbagherijam, 2014. "Thresholds Effect of Money Growth on Inflation in Iran," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(9), pages 319-329, September.
- Jing Li & Junsoo Lee, 2009.
"ADL tests for threshold cointegration,"
SDSU Working Papers in Progress
22009, South Dakota State University, Department of Economics.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- Palm Franz C. & Smeekes Stephan & Urbain Jean-Pierre, 2007.
"A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model,"
054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, vol. 26(03), pages 647-681, June.
- Peri, Massimo & Baldi, Lucia, 2010. "Vegetable oil market and biofuel policy: An asymmetric cointegration approach," Energy Economics, Elsevier, vol. 32(3), pages 687-693, May.
- JesÃºs Gonzalo & Jean-Yves Pitarakis, 2013.
"Estimation and inference in threshold type regime switching models,"
in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205
Edward Elgar Publishing.
- Pitarakis, Jean-Yves & Gonzalo, Jesús, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de Economía.
- Sahito, Jam Ghulam Murtaza, 2015. "Market integration of wheat in Pakistan," Discussion Papers 72, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
- Anna Sznajderska, 2012. "On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland," National Bank of Poland Working Papers 114, National Bank of Poland, Economic Institute.
- Phiri, Andrew & Nyoni, Botha, 2014. "The electricity-growth nexus in South Africa: Evidence from asymmetric co-integration and co-feature analysis," MPRA Paper 56145, University Library of Munich, Germany.
- Kim, Jae H. & Ryoo, Heajin H., 2011. "Common stocks as a hedge against inflation: Evidence from century-long US data," Economics Letters, Elsevier, vol. 113(2), pages 168-171.
- Andrew Phiri & Peter Lusanga, 2011. "Can asymmetries account for the empirical failure of the Fisher effect in South Africa?," Economics Bulletin, AccessEcon, vol. 31(3), pages 1968-1979.
- Cai, Yifei, 2016.
[Nonlinear Analysis of Economic Growth and Public Debt and Policy Governance]," MPRA Paper 72783, University Library of Munich, Germany.
- Felippe Cauê Serigati & Paulo Furquim De Azevedo, 2016. "How To Indirectly Measure Market Transaction Costs," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting] 192, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- repec:ebl:ecbull:v:3:y:2008:i:46:p:1-18 is not listed on IDEAS
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- Shin, Dong Wan & Hwang, Eunju, 2013. "Stationary bootstrapping for cointegrating regressions," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 474-480.
- Araujo-Enciso, Sergio Rene, 2011. "The Takayama and Judge Price and Allocation Model and its Application in Non-linear Techniques for Spatial Market Integration," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114225, European Association of Agricultural Economists.