This paper uses a two-regime vector error-correction with a single cointegrating vector and a threshold in the error-correction term introduced by Hansen and Seo(2002). We propose a SupLM test for the presence of a threshold. We derive the asymptotic distribution and show how to simulate asymptotic critical region. Applying our methods to the 90-days and 180-days Commercial Paper rate, we find that there are an apparent threshold effect and inconsistent behaviors in the long-run equilibrium process.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0627107-121443 |
| Date | 27 June 2007 |
| Creators | Lin, Yuan-Ching |
| Contributors | chingnun Li, Ping-Cheng Li, Ming-Jang Weng |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0627107-121443 |
| Rights | not_available, Copyright information available at source archive |
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