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Jointly testing linearity and nonstationarity within threshold autoregressions

Record type: Article

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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Citation

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

More information

Published date: November 2012
Organisations: Economics

Identifiers

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: 18 Jul 2017 05:29

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Author: Jean-Yves Pitarakis

University divisions

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