Unit root testing in presence of a double threshold process

DOI10.1007/S11009-016-9499-2MaRDI QIDQ2397962zbMATH OpenOpenAlexFDO

Authors Francesco Giordano, Marcella Niglio, Cosimo Damiano Vitale

Publication date 14 August 2017

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-016-9499-2

zbMATH Keywords

stationarityunit root testthreshold autoregressive process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series analysis of dynamical systems (37M10)

Recommendations

• Unit root tests in three‐regime SETAR models
• A sign test for unit roots in a momentum threshold autoregressive process
• Threshold Autoregression with a Unit Root
• Unit roots and double smooth transitions
• Unit Roots and Asymmetric Smooth Transitions

Cites work

• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1005342 (Why is no real title available?)
• A multiple-threshold AR(1) model
• A threshold AR(1) model
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Comment on: Threshold Autoregressions With a Unit Root
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation in threshold autoregressive models with a stationary and a unit root regime
• On non-stationary threshold autoregressive models
• Residual-Based Block Bootstrap for Unit Root Testing
• Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
• Threshold Autoregression with a Unit Root
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• Unit root tests in three‐regime SETAR models
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(12)

• LM threshold unit root tests
• Asymptotic Distribution of a Unit Root Process Under Double Truncation
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Unit root testing on buffered autoregressive model
• On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Testing for a unit root in variables with a double change in the mean
• Modified unit root tests and momentum threshold autoregressive processes.
• Local power functions of tests for double unit roots
• A sign test for unit roots in a momentum threshold autoregressive process
• Unit root tests in three‐regime SETAR models
• Testing for threshold regulation in presence of measurement error

This page was built for publication: Unit root testing in presence of a double threshold process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2397962)