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An alternative procedure to test for cointegration in STAR models · Study

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ArticleAn alternative procedure to test for cointegration in STAR models

Daiki Maki2009

Article2009

An alternative procedure to test for cointegration in STAR models

13 citations·0/0 files stored·Mathematics and Computers in Simulation

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 2002Testing for a unit root in the nonlinear STAR framework 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 1997Threshold Cointegration 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles 2001THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE

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Details

Year2009

Typearticle

Published2009-12-17

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations13

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.matcom.2009.12.003

openalex_workW2021230592

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