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Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework
16 references·1 citing·25 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1988Testing for Common Trends1,894 cited
  • 2002Testing for a unit root in the nonlinear STAR framework1,567 cited
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  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 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
  • 1997

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Threshold Cointegration
1,042 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation645 cited
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    • 2009An alternative procedure to test for cointegration in STAR models13 cited