Threshold unit root models
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Citations
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Cited by:
- Caner,M. & Hansen,B.E., 1998.
"Threshold autoregression with a near unit root,"
Working papers
27, Wisconsin Madison - Social Systems.
- Mehmet Caner & Bruce E. Hansen, 1998. "Threshold Autoregressions with a Near Unit Root," Working Papers 9821, Department of Economics, Bilkent University.
- Ming Chien Lo & Eric Zivot, 1999.
"Threshold Cointegration and Nonlinear Adjustment to the Law of One Price,"
Working Papers
0030, University of Washington, Department of Economics.
- Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Discussion Papers in Economics at the University of Washington 0030, Department of Economics at the University of Washington.
- Zisimos Koustas & Jean-Francois Lamarche, 2005.
"Policy-Induced Mean Reversion in the Real Interest Rate?,"
Working Papers
0503, Brock University, Department of Economics, revised Jul 2005.
- Zisimos Koustas & Jean-Francois Lamarche, 2006. "Policy-Induced Mean Reversion in the Real Interest Rate?," Working Papers 0601, Brock University, Department of Economics.
- Muhammad Farid Ahmed & Stephen Satchell, 2019. "Some Dynamic and Steady-State Properties of Threshold Auto-Regressions with Applications to Stationarity and Local Explosivity," JRFM, MDPI, vol. 12(3), pages 1-18, July.
- Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
- 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.
- Martín González-Rozada & Luis Pereiro, 2013. "Forecasting Prices in Regime-Switching Markets," Department of Economics Working Papers 2013_2, Universidad Torcuato Di Tella.
- Martinez Oscar & Olmo Jose, 2012.
"A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-39, September.
- Martínez Ibáñez, Oscar & Olmo, José, 2008. "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers 2072/5361, Universitat Rovira i Virgili, Department of Economics.
- Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
- Shyh-Wei Chen & Chi-Sheng Hsu & Cyun-Jhen Pen, 2016. "Are Inflation Rates Mean-reverting Processes? Evidence from Six Asian Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 119-155, February.
- Dipak Ghosh & Swarna (Bashu) Dutt, . "Nonstationarity and Nonlinearity in the US Unemployment Rate: A Re-examination," Journal for Economic Educators, Middle Tennessee State University, Business and Economic Research Center.
- Baum, Anja & Koester, Gerrit B., 2011. "The impact of fiscal policy on economic activity over the business cycle - evidence from a threshold VAR analysis," Discussion Paper Series 1: Economic Studies 2011,03, Deutsche Bundesbank.
- BESSEC Marie, 2010. "The Asymmetric Exchange Rate Dynamics in the EMS: a Time-Varying Threshold Test," EcoMod2003 330700015, EcoMod.
- Henry, Olan T. & Shields, Kalvinder, 2004. "Is there a unit root in inflation?," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 481-500, September.
- González, Martín, 2000. "Econometric implications of non-exact present value models," DE - Documentos de Trabajo. EconomÃa. DE 16009, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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, 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.
- Andy Snell & George Kapetanios & Yongcheol Shin, 2004. "Testing for nonlinear cointegration between stock prices and dividends," Money Macro and Finance (MMF) Research Group Conference 2003 90, Money Macro and Finance Research Group.
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