49
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Finite-sample power properties of threshold cointegration tests

Pages 27-30 | Published online: 27 Nov 2007

References

  • Chan , K . 1993 . Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model . Annals of Statistics , 21 : 520 – 33 .
  • Chen , L , Finney , M and Lai , K . 2005 . A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices . Economics Letters , 89 : 233 – 9 .
  • Cook , S and Manning , N . 2003 . The power of asymmetric unit root tests under threshold and consistent-threshold estimation . Applied Economics , 35 : 1543 – 50 .
  • Enders , W . 2001 . Improved critical values for the Enders-Granger unit root test . Applied Economics Letters , 8 : 257 – 61 .
  • Enders , W and Siklos , P . 2001 . Cointegration and threshold adjustment . Journal of Business and Economic Statistics , 19 : 166 – 76 .
  • Engle , R and Granger , C . 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
  • McMillan , D . 2005 . Threshold adjustment in spot-future metals prices . Applied Financial Economics Letters , 1 : 5 – 8 .
  • Petrucelli , J and Woolford , S . 1984 . A threshold AR(1) model . Journal of Applied Probability , 55 : 473 – 81 .
  • Pippenger , M and Goering , G . 2000 . Additional results on the power of unit root and cointegration tests under threshold processes . Applied Economics Letters , 7 : 641 – 4 .
  • Siklos , P . 2002 . Asymmetric adjustment from structural booms and slumps . Economics Letters , 77 : 329 – 33 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.