Cointegration and Threshold Adjustment

By W. Enders, P. Siklos. 2001

1,343 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/d92a983ddda84c76af3b49343025846d243742de

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. M. Stigler
2. H. Mohammadi
3. Junsoo Lee
4. W. Enders
5. Robert L. Czudaj
6. J. Beckmann
7. F. Bec
8. Anders Rahbek

Citations in the corpus

• Improved critical values for the Enders-Granger unit-root test (2001, background): “This can be problematic since Pippenger and Goering (1993), Balke and Fomby (1997), Enders and Granger (1998) and Enders and Siklos (1998) all show that traditional tests for unit-roots and cointegration have low power in the presence of asymmetric adjustment.”
• Crude oil shocks and stock markets: A panel threshold cointegration approach (2011, background): “However, if the variables are threshold 1 See Balke and Fomby (1997), Enders and Granger (1998), Enders and Siklos (2001), and Pippenger and Goering (1993).”
• Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, methodology): “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).”
• The ACR Model: A Multivariate Dynamic Mixture Autoregression (2008, positive): “Regarding the interest rate spread dynamics, similar results are obtained in, e.g. Anderson (1997), Enders and Granger (1998) and Enders and Siklos (2001).”
• Convergence in Eurozone Retail Banking? What Interest Rate Pass-Through Tells Us About Monetary Policy Transmission, Competition and Integration (2003, positive): “The null of no cointegration is rejected if the estimated F-statistic for H0: q1 1⁄4 q2 1⁄4 0 is statistically significant based on critical values provided by Enders and Siklos (2000). If cointegration is established, an F-test for H0: q1 1⁄4 q2 indicates the presence of asymmetry.”
• Threshold cointegration: overview and implementation in R (2013, methodology): “In the field of the term interest theory, threshold cointegration methods have been developed and applied by Enders and Granger (1998), Enders and Siklos (2001), Bec et al. (2008), Krishnakumar and Netto (2009).”
• Threshold autoregression in economics (2011, neutral): “Enders and Siklos [28] extended the Engle-”