Asymmetry and nonstationarity for a seasonal time series model
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Balke, Nathan S & Fomby, Thomas B, 1997.
"Threshold Cointegration,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
- Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Working Papers 9209, Federal Reserve Bank of Dallas.
- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"Testing for two-regime threshold cointegration in vector error-correction models,"
Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
- Tom Doan, "undated". "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993.
"Seasonal unit roots in aggregate U.S. data,"
Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
- J. Joseph Beaulieu & Jeffrey A. Miron, 1992. "Seasonal Unit Roots in Aggregate U.S. Data," NBER Technical Working Papers 0126, National Bureau of Economic Research, Inc.
- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990.
"Seasonal integration and cointegration,"
Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- H. Peter Boswijk & Philip Hans Franses, 1996. "Unit Roots In Periodic Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(3), pages 221-245, May.
- Enders, Walter & Granger, Clive W J, 1998.
"Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
- Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers Archive 1388, Iowa State University, Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
- Mehmet Caner & Bruce E. Hansen, 2001.
"Threshold Autoregression with a Unit Root,"
Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
- Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
- Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-244, April.
- Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, vol. 99(1), pages 107-137, November.
- Breitung, Jörg & Franses, Philip Hans, 1998.
"On Phillips–Perron-Type Tests For Seasonal Unit Roots,"
Econometric Theory, Cambridge University Press, vol. 14(2), pages 200-221, April.
- Breitung, J. & Franses, P. H., 1996. "On Phillips-Perron Type Tests for Seasonal Unit Roots," SFB 373 Discussion Papers 1996,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
- Lee, Oesook & Shin, Dong Wan, 2000. "On geometric ergodicity of the MTAR process," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 229-237, July.
- Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
- Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
- Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 771-789.
- Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008.
"Adaptive consistent unit-root tests based on autoregressive threshold model,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
- Frédérique Bec & Alain Guay & Emmanuel Guerre, 2002. "Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model," Working Papers 2002-46, Center for Research in Economics and Statistics.
- Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
- Park, Soo Jung & Shin, Dong Wan, 2006. "A sign test for unit roots in a momentum threshold autoregressive process," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 986-990, May.
- Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
- Pelin ÖGE GÜNEY, 2013. "The Term Structure of Interest Rates: A Cointegration Analysis in the Non-Linear STAR Framework," Journal of Economics and Behavioral Studies, AMH International, vol. 5(12), pages 851-860.
- George Kapetanios & Yongcheol Shin, 2006.
"Unit root tests in three-regime SETAR models,"
Econometrics Journal, Royal Economic Society, vol. 9(2), pages 252-278, July.
- George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Yongcheol Shin, 2003. "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series 104, Edinburgh School of Economics, University of Edinburgh.
- Nunes, Mauricio & Da Silva, Sergio, 2007. "Rational bubbles in emerging stockmarkets," MPRA Paper 4641, University Library of Munich, Germany.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- Lee, Yonghee & Shin, Dong Wan, 2006. "Unit root tests for cross-sectionally dependent seasonal panels," Economics Letters, Elsevier, vol. 93(3), pages 311-317, December.
- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge Books,
Cambridge University Press, number 9780521779654, January.
- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, November.
- Frédérique Bec & Mélika Ben Salem, 2004. "L'ajustement à seuil des processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'économie politique, Dalloz, vol. 114(4), pages 467-488.
- del Barrio Castro, Tomás & Rodrigues, Paulo M.M. & Robert Taylor, A.M., 2018.
"Semi-Parametric Seasonal Unit Root Tests,"
Econometric Theory, Cambridge University Press, vol. 34(2), pages 447-476, April.
- Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015. "Semi-Parametric Seasonal Unit Root Tests," DEA Working Papers 72, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015. "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers 16807, University of Essex, Essex Business School.
- Dimitris K. Christopoulos & Miguel A. León‐Ledesma, 2010. "Revisiting The Real Wages–Unemployment Relationship. New Results From Non‐Linear Models," Bulletin of Economic Research, Wiley Blackwell, vol. 62(1), pages 79-96, January.
- repec:ebl:ecbull:v:3:y:2008:i:46:p:1-18 is not listed on IDEAS
- Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
- Yunus Aksoy & Kurmas Akdogan, 2006.
"Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?,"
Computing in Economics and Finance 2006
12, Society for Computational Economics.
- Kurmas Akdogan & Yunus Aksoy, 2007. "Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time?," Working Papers 0703, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- del Barrio Castro Tomás & Osborn Denise R, 2011. "Nonparametric Tests for Periodic Integration," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-35, February.
- Jing Li & Junsoo Lee, 2010.
"ADL tests for threshold cointegration,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
- Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers in Progress 22009, South Dakota State University, Department of Economics.
- Ghassen El Montasser, 2015. "The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms," Econometrics, MDPI, vol. 3(2), pages 1-16, May.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:136:y:2007:i:1:p:89-114. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.