Testing for two-regime threshold cointegration in vector error-correction models

By B. Hansen, Byeongseon Seo. 2002

899 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ce116072d2c6370b4853b444254626325bad6800

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Citations in the corpus

Disaggregated energy consumption and GDP in Taiwan : A threshold co-integration analysis (2008, methodology): “Hansen and Seo (2002) propose two heteroskedastic-consistent LM test statistics to test whether there is linear co-integration (i.e., the form of model (1)) under the null against the alternative threshold co-integration.”
ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2010, positive): “In particular, the grid for β can be set up around a preliminary estimate of β that can be obtained based on the linear VECM, such as the Johansen’s maximum likelihood estimator or the simple OLS estimator as described in Hansen and Seo (2002) .”
What drove 19th century commodity market integration (2006, positive): “This approach is generally recognized as state-of-the-art in the applied econometrics literature (cf. Balke and Fomby, 1997; Hansen and Seo, 2002; Prakash, 1996) and has been employed in many recent studies of historical market integration (cf. Canjels et al., 2004; Ejrnæs and Persson, 2000;…”
Electricity Consumption-Economic Growth Nexus: The Ghanaian Case (2011, methodology): “The author therefore, recommeded that to avoid the conflicting and unreliable results, current studies on the causality between energy (electricity) consumption and economic growth should use more recent approaches such as ARDL Bounds cointegration test (Pesarran et al, 2001), threshold cointegratio”
A literature survey on energy–growth nexus (2010, background): “(2001), two-regime threshold co-integration models proposed by Hansen and Seo (2002), Panel data approach, multivariate systems including new variables (such as: real gross fixed capital formation, labor force, carbon dioxide emissions, GD Pdeflator, population, exchange rates, interest rates, etc.”
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).”
Electricity consumption and economic growth empirical evidence from Pakistan (2011, background): “Moreover, Ho and Sui (2006) have found long run relationship between said variables and concluded that electricity consumption leads the causation to economic growth in the case of Hong Kong.”
Asymmetric Price Transmission: A Survey (2004, background): “23 Hansen & Seo (2002) develop a test for the significance of a single threshold in an error correction model.”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, background): “Seo (2011b) suggests that estimation of these parameters be carried out using a grid search; see also Hansen and Seo (2002).”
ADL tests for threshold cointegration (2010, positive): “An efficient algorithm for a lowdimensional grid search is provided by Hansen and Seo (2002).”