We have investigated the behaviour of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. The method allows us to simultaneously consider nonst
โฆ LIBER โฆ
A critique of the application of unit root tests
โ Scribed by John H. Cochrane
- Publisher
- Elsevier Science
- Year
- 1991
- Tongue
- English
- Weight
- 617 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0165-1889
No coin nor oath required. For personal study only.
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