Crandi

Threshold Effects In Cointegrating Relationships University Of Toronto

Leo Migdal
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threshold effects in cointegrating relationships university of toronto

Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. In this paper, we introduce threshold-type nonlinearities within a singleequation cointegrating regression model and propose a testing procedure for testing the null hypothesis of linear cointegration vs. cointegration with threshold effects. Our framework allows the modelling of long-run equilibrium relationships that may change according to the magnitude of a threshold variable assumed to be stationary and ergodic, and thus constitutes an attempt to deal econometrically... The framework is flexible enough to accommodate regressor endogeneity and serial correlation.

In our previous studies, we modified the Enders and Siklos test for threshold error correction to a version allowing the individual threshold variable to be responsible for the asymmetric mechanism of the system. The idea was to learn about the threshold mechanism both in the long and short run. In this paper, we tested for the asymmetry of the adjustment of the error correction mechanism towards the long-run path. The subsamples within regimes differ in size with respect to the threshold value. The novelty lies in the division of both short and long-run variables according to a threshold variable with a given threshold value (assumed or estimated). We named the test extended Enders and Siklos test (exE-S).

The present study focuses on the power and size of the modified procedure. A simulation study was designed, computed and conducted. The results are favourable for the proposed approach, although they strongly depend on the difference in values between the adjustment parameters in the regimes. International Journal of Forecasting, 2004 All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions.

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Academia.edu No Longer Supports Internet Explorer. To Browse Academia.edu And

Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. In this paper, we introduce threshold-type nonlinearities within a singleequation cointegrating regression model and propose a testing procedure for testing the null hypothesis of linear cointegration vs. cointegration with th...

In Our Previous Studies, We Modified The Enders And Siklos

In our previous studies, we modified the Enders and Siklos test for threshold error correction to a version allowing the individual threshold variable to be responsible for the asymmetric mechanism of the system. The idea was to learn about the threshold mechanism both in the long and short run. In this paper, we tested for the asymmetry of the adjustment of the error correction mechanism towards ...

The Present Study Focuses On The Power And Size Of

The present study focuses on the power and size of the modified procedure. A simulation study was designed, computed and conducted. The results are favourable for the proposed approach, although they strongly depend on the difference in values between the adjustment parameters in the regimes. International Journal of Forecasting, 2004 All material on this site has been provided by the respective p...

When Requesting A Correction, Please Mention This Item's Handle: RePEc:cte:werepe:we20060621.

When requesting a correction, please mention this item's handle: RePEc:cte:werepe:we20060621. See general information about how to correct material in RePEc. If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about. If...

If You Know Of Missing Items Citing This One, You

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation. For technical questions regarding this item, o...