Bootstrap testing for the null of no cointegration in a threshold vector error correction model

By M. Seo. 2006

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/73c5ead952a11dbc9500a5926a39127cdbe4c797

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Melike Bildirici
2. Valeri Natanelov
3. G. Van Huylenbroeck
4. Elçin A. Alp
5. M. Alam
6. Ö. Ersin
7. A. McKenzie
8. Muhammad Shahbaz

In Renewable Energy, Sustainability and the Environment

1. Valeri Natanelov
2. G. Van Huylenbroeck
3. M. Alam
4. Melike Bildirici
5. A. McKenzie
6. Muhammad Shahbaz
7. Teresa Serra
8. David Zilberman

Citations in the corpus

• ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, unknown): “where the last equality is due to (24) of Seo and Linton (2007) : Expanding the (1; 1) element of (37) around 10 yields that for ~ 1 between ̂1 and 10”
• Is there co-movement of agricultural commodities futures prices and crude oil? (2011, methodology): “To keep our analysis consistent, we implement the Seo (2006) test, withthe null of no-cointegration versus threshold cointegration.”
• TAR-cointegration neural network model: An empirical analysis of exchange rates and stock returns (2010, background): “Consequently, Seo (2006) developed a sequence of tests where both linear and TAR-cointegration is defined under the alternative hypothesis.”