More powerful threshold cointegration tests
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DOI: 10.1007/s00181-017-1243-4
Abstract: Threshold cointegration tests have made a big splash in the literature by allowing for asymmetric adjustment in linear cointegration tests. This paper contributes to this literature by proposing new tests to improve the power of… read more here.
Keywords: power; cointegration; powerful threshold; cointegration tests ... See more keywords