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Detecting cointegration relationships under nonlinear models : Monte Carlo analysis and some applications

Maki, Daiki - In: Empirical economics : a journal of the Institute for … 45 (2013) 1, pp. 605-625

Persistent link: https://www.econbiz.de/10009780025

Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate

Maki, Daiki - In: Economics letters 81 (2003) 3, pp. 349-354

Persistent link: https://www.econbiz.de/10001835510

Tests for cointegration allowing for an unknown number of breaks

Maki, Daiki - In: Economic modelling 29 (2012) 5, pp. 2011-2015

Persistent link: https://www.econbiz.de/10009667003

Tests for a unit root using three-regime TAR models : power comparison and some applications

Maki, Daiki - In: Econometric reviews 28 (2009) 4, pp. 335-363

Persistent link: https://www.econbiz.de/10003864021

Detection of stationarity in nonlinear processes : a comparison between structural breaks and three-regime TAR models

Maki, Daiki - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10009515140

Non-linear adjustment in the term structure of interest rates : a cointegration analysis in the non-linear STAR framework

Maki, Daiki - In: Applied financial economics 16 (2006) 17, pp. 1301-1307

Persistent link: https://www.econbiz.de/10003387426

Variance ratio tests for a unit root in the presence of a mean shift : small sample properties and an application to purchasing power parity

Maki, Daiki - In: Applied financial economics 16 (2006) 8, pp. 607-615

Persistent link: https://www.econbiz.de/10003328492

Detection of stationarity in nonlinear processes : a comparison between structural breaks and three-regime TAR models

Maki, Daiki - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10009949976

Tests for cointegration allowing for an unknown number of breaks

Maki, Daiki - In: Economic Modelling 29 (2012) 5, pp. 2011-2015

This paper introduces cointegration tests allowing for an unknown number of breaks. The introduced tests assume that the unspecified number of breaks is smaller than or equal to the maximum number of breaks set a priori. Monte Carlo simulations provide two main results. First, the proposed tests...

Persistent link: https://www.econbiz.de/10010597524

Residual-based tests for cointegration with three-regime TAR adjustment

Maki, Daiki; Kitasaka, Shin-ichi - In: Empirical Economics 48 (2015) 3, pp. 1013-1054

This paper proposes residual-based tests for cointegration with three-regime threshold autoregressive (TAR) adjustment. We propose Wald-type and <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$t$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>t</mi> </math> </EquationSource> </InlineEquation>-type tests that have the null hypothesis of linear no cointegration and the alternative of cointegration with three-regime TAR adjustment...</equationsource></equationsource></inlineequation>

Persistent link: https://www.econbiz.de/10011240930