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Testing for sign and amplitude asymmetries using threshold autoregressions
16 references·0 citing·38 second hop
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References

  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1997Threshold Cointegration1,042 cited
  • 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
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  • 1993BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK580 cited
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  • 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates380 cited
  • 1998Stylized facts of daily return series and the hidden Markov model346 cited
  • 2002Purchasing Power Parity and the Real Exchange Rate330 cited
  • 1996Time Irreversibility and Business Cycle Asymmetry259 cited
  • 2001Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era258 cited
  • 2002MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES220 cited
  • 1993PRACTITIONERS CORNER: A Note on the Empirical Power of Unit Root Tests under Threshold Processes†203 cited
  • 2001Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities

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196 cited
  • 1999The U.S. Phillips curve: The case for asymmetry167 cited
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