Please use this identifier to cite or link to this item:
http://hdl.handle.net/20.500.11861/9544| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Dr. WOO Kai Yin | en_US |
| dc.contributor.author | Dr. LEE Shu Kam | en_US |
| dc.date.accessioned | 2024-04-22T05:33:16Z | - |
| dc.date.available | 2024-04-22T05:33:16Z | - |
| dc.date.issued | 2015 | - |
| dc.identifier.uri | file:///C:/Users/libsltse/Downloads/WPWorking_Paper_2015_Aug_Woo_LeeCV.pdf | - |
| dc.identifier.uri | http://hdl.handle.net/20.500.11861/9544 | - |
| dc.description | 39 pages | en_US |
| dc.description.abstract | In this paper, we consider the generalized-least-squares (GLS) threshold autoregressive (TAR) and the GLS momentum-TAR (MTAR) cointegration tests when employing consistently estimated threshold values. We simulate the finite-sample critical values for these tests with different sample sizes, varying number of variables and lagged changes in the threshold models. The critical values are useful for empirical studies using threshold cointegration analysis. | en_US |
| dc.language.iso | en | en_US |
| dc.relation.ispartofseries | Working Paper Series;August 2015 | - |
| dc.title | Critical values of the GLS TAR and GLS MTAR cointegration tests under consistent threshold estimation | en_US |
| dc.type | Working Paper | en_US |
| item.fulltext | No Fulltext | - |
| crisitem.author.dept | Department of Economics and Finance | - |
| crisitem.author.dept | Department of Economics and Finance | - |
| Appears in Collections: | Economics and Finance - Publication | |
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