74
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Threshold adjustment in the long-run relationship between stock prices and economic activity

Pages 243-246 | Published online: 23 Jul 2007

References

  • Dickey , D and Fuller , W . 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Elliott , G , Rothenberg , T and Stock , J . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
  • 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 .
  • Henry , O , Olekalns , N and Thong , J . 2004 . Do stock market returns predict changes to output? Evidence from a nonlinear panel data model . Empirical Economics , 29 : 527 – 40 .
  • Johansen , S . 1988 . Statistical analysis of cointegration vectors . Journal of Economics Dynamics and Control , 12 : 231 – 54 .
  • McMillan , D . 2005 . Time variation in the cointegrating relationship between stock prices and economic activity . International Review of Applied Economics , 19 : 359 – 68 .
  • Nasseh , A and Strauss , J . 2000 . Stock prices and domestic and international activity: a cointegration approach . Quarterly Review of Economics and Statistics , 40 : 229 – 45 .
  • Pesaran , M and Timmerman , A . 1995 . Predictability of stock returns: robustness and economic significance . Journal of Finance , 50 : 1201 – 28 .
  • Pesaran , M and Timmerman , A . 2000 . A recursive modelling approach to predicting UK stock returns . Economic Journal , 110 : 159 – 91 .
  • Tong , H . 1983 . Threshold Models in Nonlinear Time-Series Analysis , New York : Springer-Verlag .
  • Tong , H . 1990 . Nonlinear Time-Series: A Dynamical Approach , Oxford : Oxford University Press .

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.