Testing for two-regime threshold cointegration in vector error-correction models

Keyphrases

• Threshold Cointegration 100%
• Vector Error Correction Model 100%
• Threshold Effect 100%
• Interest Rates 50%
• Maximum Likelihood Estimation 50%
• Monte Carlo Simulation 50%
• SIMPLE Algorithm 50%
• Asymptotic Distribution 50%
• Bivariate 50%
• Cointegration Model 50%
• Cointegrating Vector 50%
• Term Structure Models 50%
• Error Correction Term 50%
• Asymptotic Critical Values 50%
• Bootstrap Approximation 50%

Mathematics

• Cointegration 100%
• Vector Error 100%
• Error Correction 100%
• Monte Carlo 33%
• Asymptotics 33%
• Asymptotic Distribution 33%
• Null 33%
• Strong Evidence 33%
• Term Structure 33%
• Bivariate Case 33%
• Bootstrap Approximation 33%
• Correction Term 33%
• Maximum Likelihood 33%

Economics, Econometrics and Finance

• Monte Carlo Simulation 100%
• Yield Curve 100%
• Interest Rate 100%