Unit root testing in presence of a double threshold process

DOI10.1007/S11009-016-9499-2zbMATH Open1373.37175OpenAlexW2356399290MaRDI QIDQ2397962FDOQ2397962

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)

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Cites work

• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
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• scientific article; zbMATH DE number 48093 (Why is no real title available?)
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• 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)

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

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