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

✍ 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
DOI: 10.1016/j.japwor.2008.09.001

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