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 |
| Item ID: | 342407 |
| Date Deposited: | 28 Aug 2012 16:20 |
| Last Modified: | 28 Aug 2012 16:20 |
| Contributors: | Pitarakis, Jean-Yves (Author) |
| Date: | November 2012 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/342407 |
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