Pan, Guochen; Chen, Seng-Sung; Chang, Tsangyao - In: Journal for Economic Forecasting (2012) 4, pp. 56-67
In this study, we use the threshold unit root test proposed by Caner and Hansen (2001) to re-investigate the time-series properties of stock prices for the nine transition countries during the 2000.10 to 2010.11 period. The empirical results from our threshold unit test indicate that the null...