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A threshold cointegration test with increased power
Mathematics and Computers in Simulation, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Steven Cook
exaly +5 more sources
Spatial Market Arbitrage and Threshold Cointegration
American Journal of Agricultural Economics, 2003Goodwin and Piggott reported that corn and soybean prices in spatially separated markets in North Carolina exhibited threshold cointegration and that commodity prices in different markets may persistently diverge. Here, a multivariate approach is used to test for threshold cointegration and nonlinear cointegration.
Peter S Sephton
exaly +3 more sources
Performance of threshold cointegration tests
Journal of Statistical Computation and Simulation, 2013In this paper, we examine and compare the performance of ordinary least squares (OLS) and instrumental variables (IVs) based single-equation Engle–Granger, error correction model (ECM), and autoregressive-distributed lag (ADL) threshold cointegration tests. Results are additionally compared with the system-equation OLS–ECM test.
Junsoo Lee, Mark C Strazicich
exaly +2 more sources
Summary: We consider a model in which there is discontinuous adjustment to a long-run equilibrium. Here, the equilibrium error follows a threshold autoregression that is mean-reverting outside a given range and has a unit root inside the range. We suggest a two-step approach for examining threshold cointegration.
Nathan S. Balke, Thomas B. Fomby
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