SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System
16 references·0 citing·30 second hop
Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System (2009)Estimation and Testing for the Cointegrat…Testing for two-regime threshold cointegration in vector error-correction models (2002)Testing for two-regime thresh…Threshold Autoregression with a Unit Root (2001)Threshold Autoregression with…Cointegration and Threshold Adjustment (2001)Cointegration and Threshold A…Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…Testing and Modeling Multivariate Threshold Models (1998)Testing and Modeling Multivar…Inference in TAR Models (1997)Inference in TAR ModelsInference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Trends and random walks in macroeconmic time series (1982)Testing for Common Trends (1988)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)Asymmetric Price Transmission: A Survey (2004)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Hidden Cointegration (2002)Oil prices and economic activity: An asymmetric cointegration approach (2006)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 2001Cointegration and Threshold Adjustment1,149 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 2002Testing for two-regime threshold cointegration in vector error-correction models847 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
  • 2001Threshold Autoregression with a Unit Root707 cited
  • 1998Testing and Modeling Multivariate Threshold Models

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

677 cited
  • 1997Inference in TAR Models636 cited
  • Cited by

    No citing works inside the corpus for this window.