This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: STR-ECM ECM NEC F NEA F ecm t NEC F NEA F F224.0 A Testing for Threshold Cointegration and Transition Function in STR-ECM Abstract : Based on the analyzing on the lecture of threshold cointegration, this paper explain the shortcoming of the threshold cointegration model in which the nonlinear adjustment transiting function is known, therefore this paper set a ECM in which the nonlinear adjustment transiting function is unknown, Furthermore, we propose a set of testing procedure and use NEC F NEA F and ecm t statistic to test threshold cointegration and transiting function. The Monte Carlo simulation result shows their small-sample wonderful performances, so the methods developed by this paper can be better used in empirical studies. Key words : Threshold Cointegration Transition Function Nonlinear Adjustment Monte Carlo Finite Sample Balke,Fomby(1997)TAR() Balke, Fomby (1997)(DF, ADF)...
View Full Document
- Spring '11