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Scientific article
English

Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships

Contributors

Krishnakumar, Jaya; Neto, David

Published in

Statistical methodology, vol. 26, p. 84-102

Publication date

2015

Abstract

This paper is concerned with the estimation and inference for a threshold VECM with more than one cointegrating relation thus extending the literature in this context which has mostly considered only one cointegrating relationship so far. We then go on to develop an appropriate test for the number of cointegrating relationships in a threshold VECM. Asymptotic distributions of our test statistics are derived and tabulated. Finite sample performance of the proposed testing procedure is investigated.

Keywords

  • Threshold cointegration
  • Reduced rank estimation
  • TUR models
  • Cointegration rank test

UNIGE affiliation entities

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

Journal ISSN

1572-3127
646views
1downloads

Technical informations

Creation

23/09/2015 19:43:00

First validation

23/09/2015 19:43:00

Update

14/03/2023 23:40:31

Status update

14/03/2023 23:40:30

Last indexation

31/10/2024 01:27:43
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