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  • Search: subject:"threshold autoregressive process"
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asymptotic distribution 1 forward premium 1 threshold autoregressive process 1 unidentified nuisance parameter 1
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Berben, R-P. 1 Dijk, D.J.C. van 1
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Erasmus University Rotterdam, Econometric Institute 1
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Unit root tests and assymmetric adjustment
Berben, R-P.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1999
Standard unit root tests are misspecified in case the variable of interest is stationary but displays asymmetric adjustment towards its long-run equilibrium and, consequently, may suffer from a lack of power against such alternatives. This observation recently has aroused interest in developing...
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