Testing the "Inaction Corridor" in a Three-Regime TVECM

In this note, we investigate a test for the existence of a middle "band of inaction" in a three-regime threshold vector error correction model (TVECM). For this purpose we propose a supremum Wald statistic, derive its limiting distribution and calculate its critical values through simulations.

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Year of publication:	2009-04
Authors:	Krishnakumar, Jaya ; Neto, David
Institutions:	Institut d'Economie et Econométrie, Université de Genève
Subject:	Threshold cointegration \| Threshold Unit Root process \| Sup-Wald statistic \| TVECM

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Extent:	application/pdf
Series:	Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
Type of publication:	Book / Working Paper
Notes:	9 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010616291