References
- Baldwin , R. E. 1990 . Re-interpreting the failure of foreign exchange market efficiency tests: small transaction costs, big hysteresis bands , NBER Working Paper 3319
- Balke , N. S. and Fomby , T. B. 1997 . Threshold cointegration . International Economic Review , 38 : 627 – 645 .
- Caner , M. and Hansen , B. August 1997 . Threshold autoregressions with unit roots August , working paper
- Choudhry , T. 1992 . The long run money demand function in the United Kingdom: stable or unstable? . Journal of Economics and Business , 44 : 335 – 344 .
- Dickey , D. A. and Fuller , W. Distribution of the estimators for an autoregressive time series with a unit root . Journal of the American Statistical Association , 74 423 – 431 .
- Engle , R. F. and Granger , C. W. J. Co-integration and error correction: representation, estimation and testing . Econometrica , 55 251 – 276 .
- Goering , G. E. and Pippenger , M. K. 1994 . A note on ARCH and threshold processes: results from a Monte Carlo study . Applied Economics Letters , 1 : 210 – 213 .
- Johansen , S. 1991 . Estimation and testing of cointegrating vectors in gaussian vector autoregessive models . Econometrica , 59 : 1551 – 1580 .
- Juselius , K. Maximum likelihood estimation and inference on cointegration - with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 169 – 210 .
- Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 178 .
- MacKinnon , J. G. 1991 . “ Critical values for cointegration tests ” . In Long-Run Economic Relationships: Readings in Cointegration , Edited by: Engle , R. F. and Granger , C. W. J. 267 – 276 . Oxford : Oxford University Press .
- Michael , M. , Nobay , R. and Peel , D. 1994 . Exchange rates, transactions bands and Cassel's doctrine of PPP , Liverpool Research Papers in Economics and Finance, no. 9403
- Michael , M. , Nobay , R. and Peel , D. 1997 . Transactions costs and nonlinear adjustment in real exchange rates: an empirical investigation . Journal of Political Economy , 105 : 862 – 879 .
- Norrbin , S. and Reffett , K. 1997 . Disaggregated money demand in the long run . Journal of Macroeconomics , 19 : 495 – 507 .
- Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 346 .
- Pippenger , M. K. and Goering , G. E. 1993 . A note on the empirical power of unit root tests under threshold processes . Oxford Bulletin of Economics and Statistics , 55 : 473 – 481 .
- Priestley , M. B. 1988 . Non-linear and Non-stationary Time Series Analysis , New York : Academic Press .
- Tsay , R. Testing and modelling multivariate threshold models undated working paper