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Threshold Effects in Multivariate Error Correction Models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorPitarakis, Jean-Yves
dc.date.accessioned2008-12-02T14:10:07Z
dc.date.available2008-12-02T14:10:07Z
dc.date.issued2006-02
dc.description.abstractWe propose a testing procedure for assessing the presence of threshold effects in nonstationary vector autoregressive models with or without cointegration. Our approach involves first testing whether the long-run impact matrix characterizing the VECM type representation of the VAR switches according to the magnitude of some threshold variable and is valid regardless of whether the system is purely I(1), I(1) with cointegration or stationary. Once the potential presence of threshold effects is established we subsequently evaluate the cointegrating properties of the system in each regime through a model selection based approach whose asymptotic and finite sample properties are also established. This subsequently allows us to introduce a novel non-linear permanent and transitory decomposition of the vector process of interest.
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationPalgrave Handbook of Econometrics. Econometric Theory. Terence C. Mills, Kerry Patterson (eds). Vol. 1, chapter 15, p. 578-609
dc.identifier.isbn9781403941558
dc.identifier.urihttps://hdl.handle.net/10016/3220
dc.language.isoeng
dc.publisherPalgrave Macmillan
dc.rights© Palgrave Macmillan
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.titleThreshold Effects in Multivariate Error Correction Models
dc.typebook part*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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