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Testing for cointegration in a double-LSTR framework
Grote, Claudia; Sibbertsen, Philipp - 2013
This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by … cointegration and globally stationary D-LSTR cointegration under the alternative. As a result of the identification problem the …
Persistent link: https://www.econbiz.de/10010239745
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Some cautions on the use of nonlinear panel unit root tests : evidence from a modified series-specific non-linear panel unit-root test
Lau, Chi Keung; Suvankulov, Farrukh; Su, Yongyang; … - In: Economic modelling 29 (2012) 3, pp. 810-816
Persistent link: https://www.econbiz.de/10009545513
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Threshold vector error correction model and transaction cost variation
Machado Junior, Pedro C.; Chung, Chanjin; Ng'ombe, John N. - In: Applied economics 56 (2024) 42, pp. 5058-5071
Persistent link: https://www.econbiz.de/10014560520
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Testing weak exogeneity in cointegrated panels
Moral-Benito, Enrique; Servén, Luis - In: Applied economics 47 (2015) 28/30, pp. 3116-3228
Persistent link: https://www.econbiz.de/10011289328
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VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna; Wróblewska, Justyna - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
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A finite sample correction for the variance of linear two-step GMM estimators
Windmeijer, Frank - 2000
Persistent link: https://www.econbiz.de/10001537510
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Forecasting performance of seasonal cointegration models
Löf, Mårten; Lyhagen, Johan - 1999
Persistent link: https://www.econbiz.de/10001421851
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Bayesian analysis of a fractional cointegration model
Martin, Gael M. - In: Econometric reviews 20 (2001) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10001596591
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Forecasting performance of seasonal cointegration models
Löf, Mårten - In: On seasonality and cointegration, (pp. 27-45). 2001
Persistent link: https://www.econbiz.de/10001597303
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Size and power of the likelihood ratio test for seasonal conitegration in small samples : a Monte Carlo study
Löf, Mårten - In: On seasonality and cointegration, (pp. 71-90). 2001
Persistent link: https://www.econbiz.de/10001597306