Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications

DOI10.1080/07474930802458893zbMath1482.62094OpenAlexW2086351257MaRDI QIDQ3183725

Daiki Maki

Publication date: 21 October 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802458893

zbMATH Keywords

powerunit root testthree-regime TAR model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Unit root testing in presence of a double threshold process ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data

Cites Work

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• Threshold Cointegration
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• Threshold Autoregression with a Unit Root
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Unit root tests in three‐regime SETAR models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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