References
- Chan , K. S. 1993 . Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model . Annals of Statistics , 21 : 520 – 533 .
- Chan , K. S. and Tsay , R. S. 1998 . Limiting properties of the least squares estimator of a continuous threshold autoregressive model . Biometrika , 85 : 413 – 426 .
- Cook , S. 2000 . Frequency domain and time series properties of asymmetric error correction terms . Applied Economics , 32 : 297 – 304 .
- Cook , S. , Holly , S. and Turner , P. 1999a . DHSY revisited: the role of asymmetries . Applied Economics , 31 : 775 – 778 .
- Cook , S. , Holly , S. and Turner , P. 1999b . Testing for nonlinearity: the case of Granger-Lee asymmetry . Economics Letters , 62 : 155 – 159 .
- Cook , S. , Holly , S. and Turner , P. 2000 . Testing for nonlinearity: the Escribano-Pfann model . Computational Economics , 15 : 223 – 226 .
- Davidson , J. E. H. , Hendry , D. F. , Srba , F. and Yeo , S. 1978 . Econometric modelling of the aggregate time series relationship between consumers' expenditure and income in the United Kingdom . Economic Journal , 88 : 661 – 692 .
- Enders , W. 2001 . Improved critical values for the EndersGranger unit root test . Applied Economics Letters , 8 : 257 – 261 .
- Enders , W. and Granger , C. W. J. 1998 . Unit root tests and asymmetric adjustment with an example using the term structure of interest rates . Journal of Business and Economic Statistics , 16 : 304 – 311 .
- Escribano , A. and Pfann , G. 1998 . Nonlinear error correction, asymmetric adjustment and cointegration . Economic Modelling , 15 : 196 – 216 .
- Granger , C. W. J. and Lee , T.-H. 1989 . Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models . Journal of Applied Econometrics , 4 : S145 – 159 .
- Hendry , D. F. and Doornik , J. A. 1996 . Empirical Econometric Modelling using PcGive 9.0 for Windows , London : International Thomson Business Press .
- Hendry , D. F. , Muellbauer , J. N. J. and Murphy , A. 1990 . “ The econometrics of DHSY ” . In A Century of Economics , Edited by: Hey , J. D. and Winch , D. Oxford : Basil Blackwell .
- Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economics Dynamics and Control , 12 : 231 – 254 .