Jointly testing linearity and nonstationarity within threshold autoregressions

Jean-Yves Pitarakis

Economics Letters, 2012, vol. 117, issue 2, 411-413

Abstract: A Wald type test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components is developed. Its limiting distribution is derived and its local power and finite sample properties investigated.

Keywords: Threshold autoregressive models; Unit roots; Near unit roots; Brownian bridge; Augmented Dickey–Fuller test (search for similar items in EconPapers)
JEL-codes: C12 C2 C5 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Working Paper: Jointly testing linearity and nonstationarity within threshold autoregressions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:2:p:411-413

DOI: 10.1016/j.econlet.2012.06.025

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