Jointly testing linearity and nonstationarity within threshold autoregressions

Jean-Yves Pitarakis

MPRA Paper from University Library of Munich, Germany

Abstract: We develop a test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components. We derive the limiting distribution of a Wald type test statistic and subsequently investigate its local power and nite sample properties. We view our test as a useful diagnostic tool since a non rejection of our null hypothesis would remove the need to explore nonlinearities any further and support a linear autoregression with a unit root.

Keywords: Threshold Autoregressive Models; Unit Roots; Near Unit Roots; Brownian Bridge; Augmented Dickey Fuller Test (search for similar items in EconPapers)
JEL-codes: C22 C50 (search for similar items in EconPapers)
Date: 2012-05
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Jointly testing linearity and nonstationarity within threshold autoregressions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:38845

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