Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates
This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and ...
A buffered autoregression extends the classical threshold autoregression by allowing a buffer region for regime changes. In this study, we examine asymptotic statistical inferences for the two-regime ...
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