Search Results - subject:"threshold cointegration"

Estimation of nonlinear error correction models

Seo, Myung Hwan - London School of Economics (LSE) - 2007

Asymptotic inference in nonlinear vector error correction models (VECM) that exhibit regime-specific short-run dynamics is nonstandard and complicated. This paper contributes the literature in several important ways. First, we establish the consistency of the least squares estimator of the...

Persistent link: https://www.econbiz.de/10010928743

A Re-examination of the Real Interest Parity Condition Using Threshold Cointegration

Cooray, Arusha - School of Economics and Finance, Tasmanian School of … - 2007

Threshold cointegration is employed in this study to test the real interest parity condition between the UK and the US …

Persistent link: https://www.econbiz.de/10005730530

Estimation of Nonlinear Error CorrectionModels

Seo, Myung Hwan - Suntory and Toyota International Centres for Economics … - 2007

, which is asymptotically normal. Keywords: Threshold Cointegration, Smooth Transition Error Correction, Least Squares … of Granger and Ter�svirta (1993), threshold cointegration of Balke and Fomby (1997), Markov switching ECM of Psaradakis … depends on the disequilibrium error. Examples include threshold cointegration and smooth transition VECM. First, we establish …

Persistent link: https://www.econbiz.de/10005151139

Spatial market integration and the dynamics of transaction costs in the Chinese soy bean market

Brosig, Stephan; Weitzel, Enno-Burghard; Glauben, Thomas; … - 2007

The development over time of market integration between Chinese provinces is analyzed by estimating threshold vector error correction models for rolling windows during 1998-2003. Transaction costs clearly decrease during this period characterized by liberalization of external trade and domestic...

Persistent link: https://www.econbiz.de/10011525791

Threshold Cointegration: Model Selection with an Application

Sephton, Peter; Mann, Janelle - In: Journal of Economics and Econometrics 56 (2013) 2, pp. 54-77

In this article we examine the performance of an extended approach to testing for threshold cointegration that relies …

Persistent link: https://www.econbiz.de/10011078551

Further evidence of an Environmental Kuznets Curve in Spain

Sephton, Peter; Mann, Janelle - In: Energy Economics 36 (2013) C, pp. 177-181

Using a long span of data in Spain, Esteve and Tamarit (2012b) reported evidence of a strong link between per capita income and per capita CO2. In this paper we extend their work, finding evidence of both non-linear cointegration and asymmetric adjustment using a novel approach due to Sephton...

Persistent link: https://www.econbiz.de/10010868774

Asymmetries in the revenue–expenditure nexus: A tale of three countries

Paleologou, Suzanna-Maria - In: Economic Modelling 30 (2013) C, pp. 52-60

The objective of this paper is to examine the government revenue and expenditure relationship in the context of what is known as the soft and hard budget constraint strategy. We adopt a nonlinear framework with structural breaks and focus our empirical analysis in three countries. Two of them...

Persistent link: https://www.econbiz.de/10011048849

Asymmetric adjustment of the dynamic relationship between energy intensity and urbanization in China

Liu, Yaobin; Xie, Yichun - In: Energy Economics 36 (2013) C, pp. 43-54

This paper provides a comprehensive nonlinear analysis of asymmetric adjustment of the dynamic relationship between energy intensity and urbanization using the time series data of 1978–2010 in China at both the national and the macro regional levels. Two sets of unit root tests are applied...

Persistent link: https://www.econbiz.de/10010616836

Fiscal deficits under financial pressure and insolvency: Evidence for Italy, Greece and Spain

Trachanas, Emmanouil; Katrakilidis, Constantinos - In: Journal of Policy Modeling 35 (2013) 5, pp. 730-749

This article attempts to re-evaluate the sustainability of the fiscal deficit as well as the long-run macroeconomic relationship between government spending and revenues for three South-European economies under financial market pressure and insolvency; Italy, Greece and Spain. The empirical...

Persistent link: https://www.econbiz.de/10010703102

Environmental Kuznet’s curve for India: Evidence from tests for cointegration with unknown structuralbreaks

Kanjilal, Kakali; Ghosh, Sajal - In: Energy Policy 56 (2013) C, pp. 509-515

openness for India using threshold cointegration tests with a view to testing the environmental Kuznet’s curve hypothesis in … confirms the existence of ‘regime-shift’ or ‘threshold’ cointegration among the variables and environmental Kuznet’s curve for …

Persistent link: https://www.econbiz.de/10010636165