Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
ContributorsKrishnakumar, Jaya; Neto, David
Published inStatistical methodology, vol. 26, p. 84-102
Publication date2015
Abstract
Keywords
- Threshold cointegration
- Reduced rank estimation
- TUR models
- Cointegration rank test
Citation (ISO format)
KRISHNAKUMAR, Jaya, NETO, David. Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships. In: Statistical methodology, 2015, vol. 26, p. 84–102. doi: 10.1016/j.stamet.2015.04.001
Main files (1)
Article (Published version)

Identifiers
- PID : unige:75822
- DOI : 10.1016/j.stamet.2015.04.001
ISSN of the journal1572-3127