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Threshold Effects in Cointegrating Relationships*
16 references·14 citing·35 second hop
Threshold Effects in Cointegrating Relationships* (2006)Threshold Effects in Cointegrating Relati…Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Understanding Trend and Cycle…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…Nonlinear Regressions with Integrated Time Series (2001)Nonlinear Regressions with In…Sample Splitting and Threshold Estimation (2000)Sample Splitting and Threshol…Testing for Linearity (1999)Testing for LinearityThreshold Cointegration (1997)Threshold CointegrationApproximate Asymptotic P Values for StructuraS-Change Tests (1997)Approximate Asymptotic P Valu…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Inference 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…Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Oil rents and non-oil economic growth in CIS oil exporters. 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this work references cited by second hop

References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1997Threshold Cointegration1,042 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 2002Testing for two-regime threshold cointegration in vector error-correction models847 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 2001Threshold Autoregression with a Unit Root707 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited
  • 2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption569 cited
  • 1997Approximate Asymptotic P Values for StructuraS-Change Tests520 cited
  • 1999Testing for Linearity451 cited

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  • 2001Nonlinear Regressions with Integrated Time Series426 cited
  • Cited by

    • 2008Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil183 cited
    • 2015Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model128 cited
    • 2009Vegetable oil market and biofuel policy: An asymmetric cointegration approach98 cited
    • 2009The impact of market and policy instability on price transmission between wheat and flour in Ukraine84 cited
    • 2011Spatial Price Adjustment with and without Trade*84 cited
    • 2011Testing for a unit root in a stationary ESTAR process50 cited
    • 2011ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS44 cited
    • 2013The Interactions between the Credit Default Swap and the Bond Markets in Financial Turmoil41 cited
    • 2010Likelihood-based inference for cointegration with nonlinear error-correction35 cited
    • 2013Summability of stochastic processes—A generalization of integration for non-linear processes29 cited
    • 2023Oil rents and non-oil economic growth in CIS oil exporters. The role of financial development22 cited
    • 2009Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System17 cited
    • 2011Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes17 cited
    • 2020Threshold model with a time‐varying threshold based on Fourier approximation16 cited