Unit root tests in three-regime SETAR models

Econometrics Journal

Volumn 9, Issue 2, 2006, Pages 252-278

  Kapetanios, George ^a   Shin, Yongcheol ^b  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b UNIVERSITY OF LEEDS   (United Kingdom)

Author keywords

Dread of depreciation; Geometric ergodic processes; Monte Carlo simulations; Real exchange rates; SETAR models; Threshold cointegration; Unit roots

Indexed keywords

EID: 33745606434     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2006.00184.x     Document Type: Article

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