{"id":"https://openalex.org/W47920972","doi":null,"title":"Threshold Cointegration: Model Selection with an Application","display_name":"Threshold Cointegration: Model Selection with an Application","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W47920972","mag":"47920972"},"language":"en","primary_location":{"id":"mag:47920972","doi":null,"is_oa":false,"landing_page_url":"http://www.eeri.eu/documents/jee/JEE_2013_02_03.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306515508","display_name":"Journal of Economics and Econometrics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Economics and Econometrics","raw_type":null},"volume":null,"type":"article","indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5050614149","display_name":"Peter S. Sephton","orcid":"https://orcid.org/0000-0002-8871-6649","observed_orcids":["https://orcid.org/0000-0002-8871-6649"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Peter S. Sephton","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-8871-6649","affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5052187016","display_name":"Janelle Mann","orcid":"https://orcid.org/0000-0002-9024-9170","observed_orcids":["https://orcid.org/0000-0002-9024-9170"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Janelle Mann","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-9024-9170","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":4.5873,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.94586587,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"56","issue":"2","first_page":"54","last_page":"77"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9121000170707703,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9121000170707703,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13370","display_name":"Diverse Scientific and Economic Studies","score":0.027699999511241913,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.009700000286102295,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/threshold-cointegration","display_name":"threshold cointegration","score":1.0},{"id":"https://openalex.org/keywords/model-selection","display_name":"model selection","score":0.7519999742507935},{"id":"https://openalex.org/keywords/block-bootstrap","display_name":"block bootstrap","score":0.8180000185966492},{"id":"https://openalex.org/keywords/nonlinear-time-series","display_name":"nonlinear time series","score":0.5009999871253967},{"id":"https://openalex.org/keywords/cointegration-tests","display_name":"cointegration tests","score":0.6290000081062317}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.937192976474762},{"id":"https://openalex.org/C195561663","wikidata":"https://www.wikidata.org/wiki/Q1307899","display_name":"Unit root","level":2,"score":0.6906751990318298},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5782588720321655},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.5639064311981201},{"id":"https://openalex.org/C144341231","wikidata":"https://www.wikidata.org/wiki/Q7887151","display_name":"Unit root test","level":3,"score":0.5148455500602722},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.49405577778816223},{"id":"https://openalex.org/C202632270","wikidata":"https://www.wikidata.org/wiki/Q7798106","display_name":"Threshold model","level":2,"score":0.48952516913414},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.4490240812301636},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4072786271572113},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.37141913175582886},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.30367574095726013},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3010045886039734},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.15429848432540894},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.06654658913612366}],"mesh":[],"locations_count":2,"locations":[{"id":"mag:47920972","doi":null,"is_oa":false,"landing_page_url":"http://www.eeri.eu/documents/jee/JEE_2013_02_03.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306515508","display_name":"Journal of Economics and Econometrics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Economics and Econometrics","raw_type":null},{"id":"pmh:oai:RePEc:eei:journl:v:56:y:2013:i:2:p:54-77","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/a/eei/journl/v56y2013i2p54-77.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1991175422","https://openalex.org/W1994045802","https://openalex.org/W2010762055","https://openalex.org/W2019681880","https://openalex.org/W2021290546","https://openalex.org/W2028475724","https://openalex.org/W2065259729","https://openalex.org/W2065660197","https://openalex.org/W2067560917","https://openalex.org/W2067870526","https://openalex.org/W2077324633","https://openalex.org/W2078432169","https://openalex.org/W2087961127","https://openalex.org/W2108244229","https://openalex.org/W2109831094","https://openalex.org/W2110603299","https://openalex.org/W2124301644","https://openalex.org/W2125658327","https://openalex.org/W2130550603","https://openalex.org/W2131940376","https://openalex.org/W2135695781","https://openalex.org/W2140878079","https://openalex.org/W2146831802","https://openalex.org/W2152446017","https://openalex.org/W2157962954","https://openalex.org/W2182963361","https://openalex.org/W3022119742","https://openalex.org/W3123185352","https://openalex.org/W3124260907"],"related_works":["https://openalex.org/W2046239052","https://openalex.org/W7095981066","https://openalex.org/W7099309581","https://openalex.org/W1994911572","https://openalex.org/W1913086409","https://openalex.org/W7097419535","https://openalex.org/W2373909245","https://openalex.org/W2124301644","https://openalex.org/W1970418884","https://openalex.org/W7100008711"],"abstract_inverted_index":{"In":[0],"this":[1],"article":[2],"we":[3],"examine":[4],"the":[5,19,30],"performance":[6],"of":[7,36],"an":[8],"extended":[9],"approach":[10],"to":[11],"testing":[12],"for":[13],"threshold":[14,20,32],"cointegration":[15],"that":[16],"relies":[17],"on":[18],"specification":[21],"process":[22],"suggested":[23],"by":[24],"Gonzalo":[25],"and":[26,29],"Pitarakis":[27],"(2002)":[28],"block-bootstrap":[31],"unit":[33],"root":[34],"test":[35],"Seo":[37],"(2008).":[38],"A":[39],"topical":[40],"application":[41],"demonstrates":[42],"its":[43],"merits.":[44]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1}],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2016-06-24T00:00:00"}
