Estimating threshold vector error-correction models with multiple cointegrating relationships

Gascoigne, J. (2004) Estimating threshold vector error-correction models with multiple cointegrating relationships. Working Paper. Department of Economics, University of Sheffield ISSN 1749-8368

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Item Type: Monograph
Authors/Creators:
  • Gascoigne, J.
Copyright, Publisher and Additional Information:

The Sheffield Economics Research Paper (SERP) series offers a forum for the research output of the academic staff and research students of the Department of Economics, University of Sheffield.

Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors.

All papers may be downloaded free on the understanding that the contents are preliminary and therefore permission from the author(s) should be sought before they are referenced.

Keywords: Nonlinearity, Cointegration, Term Structure
Dates:
  • Published: November 2004
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) > Sheffield Economics Research Papers Series
Depositing User: Repository Officer
Date Deposited: 20 Oct 2009 12:20
Last Modified: 06 Jun 2014 14:12
Published Version: http://www.shef.ac.uk/economics/research/serps/yea...
Status: Published
Publisher: Department of Economics, University of Sheffield
Identification Number: Sheffield Economic Research Paper Series 2004013
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