This paper investigates the properties of a class of models which incorporate nonlinear dynamics, known as Threshold Autoregressive (TAR) models. Simulations show that within the context of the real exchange rate literature, a threshold model of exchange rates exhibits significant small sample...

El trabajo analiza el comportamiento del Ibex35, durante el período que abarca desde enero de 1999 a diciem¬bre de 2011, con el objetivo de comprobar si sigue un proceso diferente al paseo aleatorio, de tal forma que su rendimiento no se caracteriza por ser ruido blanco y resulta, en contra de...

This paper considers the test of a unit root in transitional autoregressive models. In particular, we develop the asymptotic theory of the inf-t test for the null hypothesis of a unit root in a wide class of nonlinear autoregressive models having parameters that are identified only under the...

The aim of this paper is to find a possible hysteresis effect on unemployment rate series from Italy, France and the United States. We propose a definition of hysteresis taken from Physics which allows for nonlinearities. To test for the presence of hysteresis we use a nonlinear unobserved...

This discussion focuses on threshold nonstationary–nonlinear time series modelling; it raises various issues to do with identifiability and model complexity. It also gives some background history concerning smooth threshold/transition autoregressive models and hidden Markov switching models....

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.

Testing when a nuisance parameter is identified only under the alternative is problematic because the Likelihood Ratio test converges to a nonstandard distribution that may depend on unknown parameters. Examples include testing parameter stability in Structural Change and Threshold models. Our...

This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime,...