✦ LIBER ✦

LM threshold unit root tests

✍ Scribed by Junsoo Lee; Mark C. Strazicich; Byung Chul Yu

Book ID: 116422737
Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 167 KB
Volume: 110
Category: Article
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2010.10.014

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Panel LM Unit-root Tests with Level Shif

Panel LM Unit-root Tests with Level Shifts

✍ Kyung-So Im; Junsoo Lee; Margie Tieslau 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 188 KB

Explaining China's regional health expen

Explaining China's regional health expenditures using LM-type unit root tests

✍ Win Lin Chou 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 188 KB

Modified unit root tests and momentum th

Modified unit root tests and momentum threshold autoregressive processes

✍ Steven Cook 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 183 KB

Performance of LM-type unit root tests w

Performance of LM-type unit root tests with trend break: A bootstrap approach

✍ Win Lin Chou 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 133 KB

The power of asymmetric unit root tests

The power of asymmetric unit root tests under threshold and consistent-threshold estimation

✍ Cook, Steven; Manning, Neil 📂 Article 📅 2003 🏛 Taylor and Francis Group 🌐 English ⚖ 125 KB

Nonlinear behaviour of the Chinese SSEC

Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

✍ Xi-Yuan Qian; Fu-Tie Song; Wei-Xing Zhou 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 349 KB

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