Tests for Asymmetry in Possibly Nonstationary Time Series Data

By D. Shin, O. Lee. 2001

46 citations recorded by the source corpus.

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Adaptive consistent unit-root tests based on autoregressive threshold model (2008, background): “Caner and Hansen [2001] and Shin and Lee [2003] consider a 2-regime specification”
Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship (2004, background): “Recently, a stream of research has focused on models in which the threshold variable is stationary and differs from the dependent variable (see, e.g., Caner and Hansen 2001; Shin and Lee 2001; Gonzalez and Gonzalo 1998).”
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator (2012, methodology): “innovations, see So and Shin (1999). Actually, they use a slightly different version involving the IV regression of the prewhitened differences on the lagged level.”
Testing for a unit-root with a nonlinear Fourier function (2004, background): “The Term-Structure of Interest Rates: A number of papers, including Enders and Granger (1998), Shin and Lee (2001), Lanne and Saikkonen (2002), and Seo (2003) suggest that interest rate spreads should be stationary such that the adjustment towards the long-run equilibrium follows a threshold…”
A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks (2012, unknown): “A number of papers, including Enders and Granger (1998) and Shin and Lee (2001), suggest that interest rate spreads test was 0.114 and the power of the dummy-endogenous break test was 0.125.”