Unit root tests in three‐regime SETAR models

DOI10.1111/j.1368-423X.2006.00184.xzbMath1096.62083OpenAlexW3124722702MaRDI QIDQ5488515

Yongcheol Shin, George Kapetanios

Publication date: 22 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2006.00184.x

zbMATH Keywords

tablesMonte Carlo simulationsreal exchange ratesunit rootsSETAR modelsthreshold cointegrationdread of depreciationgeometric ergodic processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (23)

Adaptive consistent unit-root tests based on autoregressive threshold model ⋮ Testing for a unit root in a stationary ESTAR process ⋮ 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 Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ GLS detrending in nonlinear unit root test ⋮ Generating prediction bands for path forecasts from SETAR models ⋮ Local unit roots and global stationarity of TARMA models ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ 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 ⋮ The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications ⋮ Vector equilibrium correction models with non‐linear discontinuous adjustments ⋮ Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests ⋮ How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? ⋮ TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS ⋮ Performance of unit-root tests for non linear unit-root and partial unit-root processes ⋮ A local unit root test in mean for financial time series ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Testing for a unit root in a nonlinear quantile autoregression framework ⋮ 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 ⋮ Testing for a unit root in the nonlinear STAR framework

Cites Work

• Stability results for nonlinear error correction models
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Impulse response analysis in nonlinear multivariate models
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• A floor and ceiling model of US output
• Testing for a unit root in the nonlinear STAR framework
• A multiple-threshold AR(1) model
• Stochastic Limit Theory
• Threshold Autoregression with a Unit Root
• Testing and Modeling Multivariate Threshold Models
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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