Threshold specification for asymmetric error correction models

Applied Economics Letters

Volumn 9, Issue 11, 2002, Pages 711-713

  Cook, Steven ^a   Holly, Sean ^a  

^a SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ERROR CORRECTION; ESTIMATION METHOD; MODELING;

EID: 0036040840     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850110108111     Document Type: Article

References (14)

1. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
2. Limiting properties of the least squares estimator of a continuous threshold autoregressive model
3. Frequency domain and time series properties of asymmetric error correction terms
4. DHSY revisited: The role of asymmetries
5. Testing for nonlinearity: The case of Granger-Lee asymmetry
6. Testing for nonlinearity: The Escribano-Pfann model
7. Econometric modelling of the aggregate time series relationship between consumers' expenditure and income in the United Kingdom
8. Improved critical values for the Enders-Granger unit root test
9. Unit root tests and asymmetric adjustment with an example using the term structure of interest rates
10. Nonlinear error correction, asymmetric adjustment and cointegration
11. Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models
12. Statistical analysis of cointegration vectors