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Original Articles

A sensitivity analysis of threshold determination for asymmetric error correction models

Pages 611-616 | Published online: 06 Oct 2010

References

  • Chan , K. 1993 . Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model . Annals of Statistics , 21 : 520 – 533 .
  • Chan , K. and Tsay , R. 1998 . Limiting properties of the least squares estimator of a continuous threshold autoregressive model . Biometrika , 85 : 413 – 426 .
  • Cook , S. and Holly , S. 2002 . Threshold specification for asymmetric error correction models . Applied Economics Letters , 9 : 711 – 713 .
  • Cook , S. , Holly , S. and Turner , P. 1999 . The power of tests for non-linearity: the case of Granger-Lee asymmetry . Economics Letters , 62 : 155 – 159 .
  • Cook , S. , Holly , S. and Manning , N. 2003 . A modified Granger-Lee test of the symmetry hypothesis with increased power mimeo
  • 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 – S159 .

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