Adaptive consistent unit-root tests based on autoregressive threshold model

DOI10.1016/j.jeconom.2007.05.011zbMath1418.62301OpenAlexW1977434222WikidataQ126261422 ScholiaQ126261422MaRDI QIDQ290942

Emmanuel Guerre, Frédérique Bec, Alain Guay

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.05.011

zbMATH Keywords

term structure of interest ratesthreshold autoregressive modelunit-root test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (12)

Testing for a unit root in a stationary ESTAR process ⋮ Unit root testing in presence of a double threshold process ⋮ NULL RECURRENT UNIT ROOT PROCESSES ⋮ UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model ⋮ Vector equilibrium correction models with non‐linear discontinuous adjustments ⋮ How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? ⋮ Nonparametric regression estimation in a null recurrent time series ⋮ TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS ⋮ Unit root tests in three‐regime SETAR models ⋮ The power of unit root tests against nonlinear local alternatives

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