Unit root testing in presence of a double threshold process

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

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)

Cites Work

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• Unit root tests in three‐regime SETAR models
• On non-stationary threshold autoregressive models
• Comment on: Threshold Autoregressions With a Unit Root
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications

Cited In (2)

• Testing for threshold regulation in presence of measurement error
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models

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