Residual-based tests for cointegration with three-regime TAR adjustment

Maki, Daiki; Kitasaka, Shin-ichi

doi:10.1007/s00181-014-0822-x

Cited by 10 publications

(4 citation statements)

References 36 publications

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“…The theorems given here are easily adapted to provide the asymptotic distributions for models without structural breaks using W xτ = (W x , 1) . Hence, the asymptotic distribution of their F -statistic using fixed threshold values and a SETAR model is given as a special case of Theorem 1 of this paper and as a special case (λ 1 = λ 2 ) of Theorem 2 inMaki and Kitasaka (2015). Theorem 2 is new in this context.…”

mentioning

confidence: 85%

“…The asymptotic distribution is derived by adapting the results of Gregory and Hansen (1992) to match the F -statistic process involving a threshold indicator function using results in Maki and Kitasaka (2015). However, Maki and Kitasaka (2015) use a different definition of the threshold parameter space in their SETAR model. The threshold parameter in our model is fixed, i.e.…”

Section: Appendixmentioning

confidence: 99%

“…The threshold parameter in our model is fixed, i.e. belongs to a trivial compact subset of R whereas the parameter space in Maki and Kitasaka (2015) is data dependent (see the discussion on threshold parameter space in Section 2.2 of their paper). Indicator functions with threshold parameters defined on compact sets are treated in Seo (2008).…”

Section: Appendixmentioning

confidence: 99%

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Testing for cointegration with threshold adjustment in the presence of structural breaks

Schweikert

2019

Studies in Nonlinear Dynamics &Amp; Econometrics

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In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of structural breaks in the equilibrium equation. We propose a simple procedure to simultaneously estimate the previously unknown breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test with regime shift introduced by (Gregory, A. W., and B. E. Hansen. 1996a. “Residual-based Tests for Cointegration in Models with Regime Shifts.” Journal of Econometrics 70: 99–126) to include forms of nonlinear adjustment. We derive the asymptotic distribution of the test statistics and demonstrate the finite-sample performance of the tests in a series of Monte Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a shift in the slope coefficient of the equilibrium equation. The proposed tests perform superior in these situations. An application to the “rockets and feathers” hypothesis of price adjustment in the US gasoline market provides empirical support for this methodology.

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confidence: 85%

Section: Appendixmentioning

confidence: 99%

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Testing for cointegration with threshold adjustment in the presence of structural breaks

Schweikert

2019

Studies in Nonlinear Dynamics &Amp; Econometrics

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“…For the setting, includes equally spaced 100 points between the 5% and 45% quantiles of the arranged values and includes equally spaced 100 points between the 55% and 95% quantiles. This test is based on Maki (2009) and Maki and Kitasaka (2014). Table 1 shows the critical values of the tests.…”

Section: Methods Of the Empirical Analysismentioning

confidence: 99%

Capital Adjustment and Limit Cycles: An Empirical Analysis Based on the Threshold Autoregressive Model

Nishigaki

Maki

Satake

2015

IJEBO

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In this study, we investigate the non-linearity of the Japanese business cycle based on the theoretical concept of the limit cycle. To analyze the time series of capital stock and GDP simultaneously based on the theoretical relationships predicted by the limit cycle, we incorporate the capital coefficient into a Kaldor-type dynamic model and apply the threshold autoregressive (TAR) model to it to investigate fluctuations in the coefficient that are concurrent to the underlying oscillation of the limit cycle. The estimation results indicate that these time series are subject to the three-regime TAR model and that the middle regime has divergence and the outside regimes have convergence, suggesting that the process has a non-linear phenomenon typically caused by limit cycles.

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Nonlinear attractors and asymmetries between non-life insurance premiums and financial markets

Sephton

Mann

2015

Empir Econ

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Residual-based tests for cointegration with three-regime TAR adjustment

Cited by 10 publications

References 36 publications

Testing for cointegration with threshold adjustment in the presence of structural breaks

Testing for cointegration with threshold adjustment in the presence of structural breaks

Capital Adjustment and Limit Cycles: An Empirical Analysis Based on the Threshold Autoregressive Model

Nonlinear attractors and asymmetries between non-life insurance premiums and financial markets

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