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 |
|---|---|
| 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 |