Adaptive consistent unit-root tests based on autoregressive threshold model

DOI10.1016/J.JECONOM.2007.05.011MaRDI QIDQ290942zbMATH OpenOpenAlexWikidataFDO

Authors Frédérique Bec, Alain Guay, Emmanuel Guerre

Publication date 3 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2007.05.011

zbMATH Keywords

term structure of interest ratesthreshold autoregressive modelunit-root test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Recommendations

• Unit root tests in three‐regime SETAR models
• Threshold Autoregression with a Unit Root
• Threshold Cointegration
• Unit root testing in presence of a double threshold process
• ADL tests for threshold cointegration

Cites work

• scientific article; zbMATH DE number 193660 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Asymptotic Statistics
• Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
• Econometric specification of stochastic discount factor models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Nonlinear Regressions with Integrated Time Series
• STOCHASTIC UNIT ROOT MODELS
• Testing for a unit root in the nonlinear STAR framework
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Threshold Autoregression with a Unit Root
• Threshold Cointegration
• Unit root tests in three‐regime SETAR models
• Weak convergence and empirical processes. With applications to statistics

Cited in

(17)

• Testing for a unit root in a stationary ESTAR process
• Threshold Autoregression with a Unit Root
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• Nonparametric regression estimation in a null recurrent time series
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Unit root tests in three‐regime SETAR models
• Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
• Unit root testing on buffered autoregressive model
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• Comment on: Threshold Autoregressions With a Unit Root
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Unit root testing in presence of a double threshold process
• Testing for a unit root against transitional autoregressive models
• ADL tests for threshold cointegration
• The power of unit root tests against nonlinear local alternatives
• Null recurrent unit root processes

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