Unit Root Tests in Three-Regime SETAR Models
Year of publication: |
2002-11
|
---|---|
Authors: | Kapetanios, George ; Shin, Yongcheol |
Institutions: | School of Economics and Finance, Queen Mary |
Subject: | Self-exciting threshold autoregressive models | Unit roots | Globally stationary processes | Threshold cointegration | Wald tests | Monte Carlo simulations | Real exchange rates |
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Unit Root Tests in Three-Regime SETAR Models.
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