Jointly testing linearity and nonstationarity within threshold autoregressions


Pitarakis, Jean-Yves (2012) Jointly testing linearity and nonstationarity within threshold autoregressions. Economics Letters, 117, (2), 411-413. (doi:10.1016/j.econlet.2012.06.025).

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Description/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.

Item Type: Article
ISSNs: 0165-1765 (print)
Related URLs:
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Divisions: Faculty of Social and Human Sciences > Social Sciences > Economics
ePrint ID: 342407
Date Deposited: 28 Aug 2012 16:20
Last Modified: 27 Mar 2014 20:24
Projects:
EPISODIC PREDICTABILITY IN MODELS WITH PERSISTENT VARIABLES AND ENDOGENEITY: DETECTION AND ESTIMATION
Funded by: ESRC (RES-000-22-3983)
Led by: Jean-Yves Pitarakis
1 November 2010 to 30 April 2012
URI: http://eprints.soton.ac.uk/id/eprint/342407

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