Results 211 to 220 of about 115,443 (288)

A Direct Test for Cointegration Between a Pair of Time Series

open access: green, 2002
Stephen J. Leybourne   +3 more
openalex   +1 more source

Testing linear cointegration against smooth-transition cointegration

open access: yes, 2011
This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system. It nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointegration studied by Balke and Fomby (1997).
openaire   +1 more source

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