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Testing for a unit root with covariates against nonlinear alternatives

โœ Scribed by Ching-Chuan Tsong


Book ID
116424211
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
231 KB
Volume
28
Category
Article
ISSN
0264-9993

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Nonlinear behaviour of the Chinese SSEC
โœ Xi-Yuan Qian; Fu-Tie Song; Wei-Xing Zhou ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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