UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP

DOI10.1017/S0266466608080663zbMath1231.62163OpenAlexW3021286500MaRDI QIDQ3551013

Myung Hwan Seo

Publication date: 8 April 2010

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

Full work available at URL: https://doi.org/10.1017/s0266466608080663

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Related Items (8)

Frequent or systematic changes? Discussion on ``Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection. ⋮ Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications ⋮ Unit root testing in presence of a double threshold process ⋮ Testing for cointegration with threshold adjustment in the presence of structural breaks ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS ⋮ Performance of unit-root tests for non linear unit-root and partial unit-root processes ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

Cites Work

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• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• On blocking rules for the bootstrap with dependent data
• Residual-Based Block Bootstrap for Unit Root Testing
• Unit root tests in three‐regime SETAR models

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