Unit Root Tests in Three-Regime SETAR Models
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- George Kapetanios & Yongcheol Shin, 2006. "Unit root tests in three-regime SETAR models," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 252-278, July.
- George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary University of London, School of Economics and Finance.
References listed on IDEAS
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More about this item
Keywords
self-exciting threshold autoregressive models; unit roots; globally stationary processes; threshold cointegration; Monte Carlo simulations; real exchange rates; transactions costs; dread of depreciation;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-03-14 (Econometrics)
- NEP-ETS-2004-03-14 (Econometric Time Series)
- NEP-IFN-2004-03-14 (International Finance)
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