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Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten - 2018
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no...
Persistent link: https://www.econbiz.de/10011842010
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Modelling nonlinearities in cointegration relationships
Schweikert, Karsten - 2017
Persistent link: https://www.econbiz.de/10012795244
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Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten - 2018
In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no...
Persistent link: https://www.econbiz.de/10011842708
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A comparison of different data-driven procedures to determine the bunching window
Dekker, Vincent; Schweikert, Karsten - In: Public finance review : PFR 49 (2021) 2, pp. 262-293
Persistent link: https://www.econbiz.de/10012521206
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Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander; Schweikert, Karsten - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 219-254
Persistent link: https://www.econbiz.de/10013334688