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Jointly testing linearity and nonstationarity within threshold autoregressions

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Volume
117
Issue
2
Identifiers
DOI: 10.1016/j.econlet.2012.06.025
Keywords
  • Threshold Autoregressive Models
  • Unit Roots
  • Near Unit Roots
  • Brownian Bridge
  • Augmented Dickey–Fuller Test

Abstract

Highlights ► A joint test of linearity and nonstationarity is proposed. ► Its asymptotic distribution is derived and local power investigated. ► Its distribution is nonstandard but free of nuisance parameters. ► Its finite sample behaviour is investigated through simulations. ► It is shown to perform well across a variety of scenarios.

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