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Testing for two-regime threshold cointegration in vector error-correction models · Study

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ArticleTesting for two-regime threshold cointegration in vector error-correction models

Bruce E. Hansen2002

Article2002

Testing for two-regime threshold cointegration in vector error-correction models

Bruce E. Hansen · Byeongseon Seo

847 citations·0/0 files stored·Journal of Econometrics

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

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1997Threshold Cointegration 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation

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Year2002

Typearticle

Published2002-09-10

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations847

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(02)00097-0

openalex_workW2140878079

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