Jointly testing linearity and nonstationarity within threshold autoregressions

A Wald type test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components is developed. Its limiting distribution is derived and its local power and finite sample properties investigated.

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Year of publication:	2012
Authors:	Pitarakis, Jean-Yves
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 2, p. 411-413
Publisher:	Elsevier
Subject:	Threshold autoregressive models \| Unit roots \| Near unit roots \| Brownian bridge \| Augmented Dickey–Fuller test

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Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; C5 - Econometric Modeling ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010580447