Cheng, Shu-Ching; Wu, Tsung-Pao - In: Journal for Economic Forecasting (2013) 4, pp. 82-93
This study investigates the behavior of US stock price–dividend relationships over the period 1871:01 to 2012:03 using a two-regime Threshold Autoregressive (TAR) model with an autoregressive unit root developed by Caner and Hansen (2001), which allows for simultaneously testing nonlinearity...