Chen, Chaoyi; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-15
In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root … regressors. Our main contribution is to propose an estimator that generalizes the threshold model with various forms of … nonstationary regressors and to obtain its limiting distribution theory. In particular, our proposed model generalizes the threshold …
