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ADL tests for threshold cointegration

✍ Scribed by Jing Li; Junsoo Lee


Book ID
111040142
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
412 KB
Volume
31
Category
Article
ISSN
0143-9782

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A threshold cointegration test with incr
✍ Steven Cook πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 136 KB

The low power of threshold, or asymmetric, cointegration tests is addressed. A new test is developed which combines momentumthreshold autoregression (MTAR) and local-to-unity detrending via generalised least squares (GLS). Critical values for the newly proposed GLS-MTAR threshold cointegration test