Abstract
We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a var or a vecm (tsay, 1998 tsay, r. S. 1998. Testing and modeling multivariate threshold models. Journal of the american statistical association, 93: 1188–202. [taylor & francis online], [web of science ®], , [google scholar]). Next, cofeature test-statistics are carried out on the parts.
Original language | English |
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Pages (from-to) | 579-584 |
Number of pages | 6 |
Journal | Applied Economics Letters |
Volume | 16 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1 Jan 2009 |