Threshold Cointegration: Model Selection with an Application

In this article we examine the performance of an extended approach to testing for threshold cointegration that relies on the threshold specification process suggested by Gonzalo and Pitarakis (2002) and the block-bootstrap threshold unit root test of Seo (2008). A topical application demonstrates its merits.

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Year of publication:	2013
Authors:	Sephton, Peter ; Mann, Janelle
Published in:	Journal of Economics and Econometrics. - Economics and Econometrics Research Institute (EERI). - Vol. 56.2013, 2, p. 54-77
Publisher:	Economics and Econometrics Research Institute (EERI)
Subject:	Threshold cointegration \| block bootstrapping \| model selection criteria

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Type of publication:	Article
Classification:	C23 - Models with Panel Data ; F35 - Foreign Aid ; O23 - Fiscal and Monetary Policy in Development ; O55 - Africa
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011078551