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Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes

SAIKKONEN, P.; LÜTKEPOHL, H. - Sonderforschungsbereich 373, Quantifikation und … - 1995

Persistent link: https://www.econbiz.de/10010983854

Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals

Lanne, M.; Lütkepohl, H. - Sonderforschungsbereich 373, Quantifikation und …

Persistent link: https://www.econbiz.de/10005838258

Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time

Lanne, M.; Lütkepohl, H.; Saikkonen, P. - In: Oxford bulletin of economics and statistics 65 (2003) 1, pp. 91

Persistent link: https://www.econbiz.de/10006436708

Threshold Autoregression for Strongly Autocorrelated Time Series.

Lanne, M.; Saikkonen, P. - Politiikan ja Talouden Tutkimuksen Laitos, … - 2000

In some cases the unit root or near unit root behavior of linear autoregressive models fitted to economic time series is not in accordance with the underlying economic theory. To accommodate this feature we consider a threshold autoregressive process with the threshold effect only in the...

Persistent link: https://www.econbiz.de/10005775855