Jointly testing linearity and nonstationarity within threshold autoregressions

DOI10.1016/J.ECONLET.2012.06.025zbMath1255.62278OpenAlexW1964128229MaRDI QIDQ1925932

Jean-Yves Pitarakis

Publication date: 27 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/38845/1/MPRA_paper_38845.pdf

zbMATH Keywords

Brownian bridgethreshold autoregressive modelsaugmented Dickey-Fuller testnear unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Cites Work

• Unnamed Item
• Comment on: Threshold Autoregressions With a Unit Root
• Testing for a unit root in time series regression
• Threshold Autoregression with a Unit Root
• Time Series Regression with a Unit Root

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