.png){kind=icon}
返回
Testing for two-regime threshold cointegration in vector error-correction models
.png){kind=icon}
OA
AI
DOI：10.1016/S0304-4076(02)00097-0.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper examines a two-regime vector error-correction model with a single cointegrating vector and a threshold effect in the error-correction term. We propose a relatively simple algorithm to obtain maximum likelihood estimation of the complete threshold cointegration model for the bivariate case. We propose a SupLM test for the presence of a threshold. We derive the null asymptotic distribution, show how to simulate asymptotic critical values, and present a bootstrap approximation. We investigate the performance of the test using Monte Carlo simulation, and find that the test works quite well. Applying our methods to the term structure model of interest rates, we find strong evidence for a threshold effect. (C) 2002 Published by Elsevier Science B.V.
Keyword:
term structure
bootstrap
identification
non-linear
non-stationary
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
暂无机构信息
引用论文
Potential pitfalls for the purchasing-power-parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price.png)
ECONOMETRICAOAAI
ECONOMETRICAIF7.1
OAAI分享收藏OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT ONLY UNDER THE ALTERNATIVE当滋扰参数仅在备选方案下存在时的最佳测试ECONOMETRICA
ECONOMETRICAIF7.1
PREAI
分享收藏
查看更多内容