Jointly testing linearity and nonstationarity within threshold autoregressions
Jointly testing linearity and nonstationarity within threshold autoregressions
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.
411-413
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
November 2012
Pitarakis, Jean-Yves
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Pitarakis, Jean-Yves
(2012)
Jointly testing linearity and nonstationarity within threshold autoregressions.
Economics Letters, 117 (2), .
(doi:10.1016/j.econlet.2012.06.025).
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.
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Published date: November 2012
Organisations:
Economics
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Local EPrints ID: 342407
URI: http://eprints.soton.ac.uk/id/eprint/342407
ISSN: 0165-1765
PURE UUID: 1f63a756-390c-4710-94d4-5020a0b0b249
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Date deposited: 28 Aug 2012 16:20
Last modified: 15 Mar 2024 03:16
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