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Cointegration and threshold adjustment

Enders, Walter (contributor); Siklos, Pierre L. (contributor) - 1998 - Rev. Mar 7/05

Persistent link: https://www.econbiz.de/10003734433

On the use of the Flexible Fourier Form in unit root tests, endogenous breaks, and parameter instability

Jones, Paul; Enders, Walter - In: Recent advances in estimating nonlinear models : with …, (pp. 59-83). 2014

Persistent link: https://www.econbiz.de/10011406759

Non-linear decay : tests for an attractor using a fourier approximation

Enders, Walter; Ludlow, Jorge - In: Papers in efficiency, effectiveness and international …, (pp. 45-72). 2000

Persistent link: https://www.econbiz.de/10001684378

A general test for time dependence in parameters

Becker, Ralf; Enders, Walter; Hurn, Stan - In: Journal of applied econometrics 19 (2004) 7, pp. 899-906

Persistent link: https://www.econbiz.de/10002467876

Testing for time dependence in parameters

Becker, Ralf; Enders, Walter; Hurn, Stan - 2001

Persistent link: https://www.econbiz.de/10001619263

Cointegration and threshold adjustment

Enders, Walter; Siklos, Pierre L. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 166-176

Persistent link: https://www.econbiz.de/10001568815

Cointegration and Threshold Adjustment

Enders, Walter; Siklos, Pierre L. - 2001

The Engle-Granger test for cointegration is extended by assuming that the error correction terms are asymmetric. Two variants are considered: a simple threshold autoregressive (TAR) model, where the positive and negative disequilibria are the error corrections, and the momentum threshold...

Persistent link: https://www.econbiz.de/10014145753