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Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan

โœ Scribed by Hwey-Yun Yau; Chien-Chung Nieh


Book ID
113681377
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
414 KB
Volume
21
Category
Article
ISSN
0922-1425

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## Abstract This paper studies subsampling hypothesis tests for panel data that may be nonstationary, crossโ€sectionally correlated, and crossโ€sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parame