Comment on: Threshold Autoregressions With a Unit Root

DOI10.3982/ECTA6979MaRDI QIDQ3535763zbMATH OpenOpenAlexFDO

Authors Jean-Yves Pitarakis

Publication date 14 November 2008

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta6979

zbMATH Keywords

nonlinear time seriesthreshold autoregressive modelsunit roots

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(7)

• A joint test for structural stability and a unit root in autoregressions
• Jointly testing linearity and nonstationarity within threshold autoregressions
• Unit root testing in presence of a double threshold process
• Threshold Autoregression with a Unit Root
• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
• Dealing With Endogeneity in Threshold Models Using Copulas

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