Threshold Effects in Multivariate Error Correction Models

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Show simple item record Gonzalo, Jesús Pitarakis, Jean-Yves 2008-12-02T14:10:07Z 2008-12-02T14:10:07Z 2006-02
dc.identifier.bibliographicCitation Palgrave Handbook of Econometrics. Econometric Theory. Terence C. Mills, Kerry Patterson (eds). Vol. 1, chapter 15, p. 578-609
dc.identifier.isbn 9781403941558
dc.description.abstract We 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.mimetype application/pdf
dc.language.iso eng
dc.publisher Palgrave Macmillan
dc.rights © Palgrave Macmillan
dc.title Threshold Effects in Multivariate Error Correction Models
dc.type bookPart PeerReviewed
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.affiliation.dpto UC3M. Departamento de Economía
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