Comment on: Threshold Autoregressions With a Unit Root

DOI10.3982/ECTA6979zbMath1152.91737OpenAlexW1483084075MaRDI QIDQ3535763

Jean-Yves Pitarakis

Publication date: 14 November 2008

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta6979

zbMATH Keywords

nonlinear time seriesunit rootsthreshold autoregressive models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (4)

A joint test for structural stability and a unit root in autoregressions ⋮ Unit root testing in presence of a double threshold process ⋮ Jointly testing linearity and nonstationarity within threshold autoregressions ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

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