THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE

By M. Lo, Eric Zivot. Macroeconomic Dynamics, 2001

445 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/46f69c28087458882a1c757b0b1f09a055a99a69

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In Economics and Econometrics

Citations in the corpus

ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, unknown): “The motivation of the model was that the magnitude and/or the sign of the disequilibrium zt−1 plays a central role in determining the short-run dynamics (see, e.g., Taylor, 2001; Lo and Zivot, 2001).”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, background): “Model (15) is called the band-TVEC model; see Lo and Zivot (2001) for discussion.”
Testing for two-regime threshold cointegration in vector error-correction models (2002, methodology): “Lo and Zivot (2001) extended the Balke–Fomby approach to a multivariate threshold cointegration model with a known cointegrating vector, using the tests of Tsay (1998) and multivariate extensions of Hansen (1996).”
TAR-cointegration neural network model: An empirical analysis of exchange rates and stock returns (2010, methodology): “Lo and Zivot (2001) extended this approach to a multivariate threshold cointegration model with a known cointegrating vector, using the tests of Tsay (1998) and multivariate extensions of Hansen (1996).”
Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship (2004, background): “Enders and Granger (1998) and Lo and Zivot (2001) studied by Monte Carlo the empirical properties of such tests, but did not provide a theoretical justification.”
Disaggregated energy consumption and GDP in Taiwan : A threshold co-integration analysis (2008, background): “Further related studies include Forbes et al. (1999), who develop a Bayesian estimation procedure for financial arbitrage, while Lo and Zivot (2001) extend Balke and Fomby's approach to a multivariate threshold co-integration model with a known cointegration vector, employing Tsay (1998) and…”
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, background): “From a methodological point of view, such a framework adequately describes the dynamics if the data is primarily generated by market forces since the regime variable is assumed to be endogenous (Balke and Fomby, 1997; Enders and Siklos, 2001; Lo and Zivot, 2001; Hansen and Seo, 2002).”
Threshold cointegration: overview and implementation in R (2013, background): “The law of one price (LOP) and the associated purchasing power parity (PPP) hypothesis represent maybe the ﬁeld where the greatest number of studies has been conducted (see for a review on LOP Lo and Zivot, for the PPP, Gouveia and Rodrigues 2004, Heimonen 2006, Bec et al. 2004).”
Is there co-movement of agricultural commodities futures prices and crude oil? (2011, background): “Lo and Zivot (2001) notice that cointegration is not fund for goods subject to policy intervention.”