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
On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
β Scribed by Zacharias Psaradakis
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 171 KB
- Volume
- 57
- Category
- Article
- ISSN
- 0167-7152
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