Jointly testing linearity and nonstationarity within threshold autoregressions
Economics Letters, 117, (2), . (doi:10.1016/j.econlet.2012.06.025).
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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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