Add to ORKGHansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-variate model. However, in their conclusion they note that future research will have to find a way of estimating larger systems with multiple cointegrating vectors. This paper proposes a new algorithm that can be used to estimate such models. Simulation experiments are used to compare the algorithm´s performance with that of Hansen and Seo, and a practical application to the term structure of UK interest rates is also presented
In this paper, we introduce threshold-type nonlinearities within a single-equation cointegrating reg...
Model selection and associated issues of post-model selection inference present well known challenge...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
In this paper we propose a testing procedure for assessing the presence of threshold effects in nons...
We propose a testing procedure for assessing the presence of threshold effects in nonstationary vect...
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Mod...
This paper considers Bayesian estimation of the threshold vector error correction (TVECM) model in m...
The cointegration literature suggests that forecast errors may be reduced by incorporating the knowl...
Threshold Error Correction Models are used to analyse the term structure of interest Rates. The pape...
Using simulations, the paper shows that there is a trade−off in using CLS and 2SLS on the one hand a...
In this paper we generate critical values for a test for cointegration based on the joint significan...
Traditional linear cointegration models have been widely used to examine longrun relationships betwe...
Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomi...
WOS:000282744900007 (Nº de Acesso Web of Science)In this paper we propose a time-varying vector erro...
In this paper, we introduce threshold-type nonlinearities within a single-equation cointegrating reg...
Model selection and associated issues of post-model selection inference present well known challenge...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
Hansen and Seo (2002) outline procedures to test for threshold cointegration, and to estimate a bi-v...
In this paper we propose a testing procedure for assessing the presence of threshold effects in nons...
We propose a testing procedure for assessing the presence of threshold effects in nonstationary vect...
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Mod...
This paper considers Bayesian estimation of the threshold vector error correction (TVECM) model in m...
The cointegration literature suggests that forecast errors may be reduced by incorporating the knowl...
Threshold Error Correction Models are used to analyse the term structure of interest Rates. The pape...
Using simulations, the paper shows that there is a trade−off in using CLS and 2SLS on the one hand a...
In this paper we generate critical values for a test for cointegration based on the joint significan...
Traditional linear cointegration models have been widely used to examine longrun relationships betwe...
Cointegration ideas as introduced by Granger in 1981 are commonly embodied in empirical macroeconomi...
WOS:000282744900007 (Nº de Acesso Web of Science)In this paper we propose a time-varying vector erro...
In this paper, we introduce threshold-type nonlinearities within a single-equation cointegrating reg...
Model selection and associated issues of post-model selection inference present well known challenge...
This paper deals with estimation and testing for cointegration when deterministic trends are present...