Threshold Autoregression with a Unit Root
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- Comment on: Threshold Autoregressions With a Unit Root
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Testing for threshold autoregression
- Simulation analysis of threshold autoregressive unit root tests
- Adaptive consistent unit-root tests based on autoregressive threshold model
- scientific article; zbMATH DE number 444674
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
Cited in
(only showing first 100 items - show all)- Asymptotic normality of error density estimator in stationary and explosive autoregressive models
- Performance of threshold cointegration tests
- On non-stationary threshold autoregressive models
- Theory and applications of TAR model with two threshold variables
- Unit roots: a selective review of the contributions of Peter C. B. Phillips
- Testing for a linear MA model against threshold MA models
- Testing for sign and amplitude asymmetries using threshold autoregressions
- Inference in TAR Models
- A sequential procedure for determining the number of regimes in a threshold autoregressive model
- LIMITED TIME SERIES WITH A UNIT ROOT
- Pairs trading with partial cointegration
- Testing for a unit root in a stationary ESTAR process
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Asymptotic optimality of the nonnegative garrote estimator in threshold models
- Normality of posterior distribution under misspecification and nonsmoothness, and Bayes factor for Davies' problem
- Bounds for inference with nuisance parameters present only under the alternative
- A joint test for structural stability and a unit root in autoregressions
- Misperception-driven chaos: theory and policy implications
- Pairs trading with partial cointegration
- Asymmetry and nonstationarity for a seasonal time series model
- A nonlinear long memory model, with an application to US unemployment.
- Quantile regression on quantile ranges -- a threshold approach
- An invariant sign test for random walks based on recursive median adjustment
- Adaptive consistent unit-root tests based on autoregressive threshold model
- Large shocks vs. small shocks. (Or does size matter? May be so.)
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
- Local unit roots and global stationarity of TARMA models
- Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
- Testing for strict stationarity in a random coefficient autoregressive model
- Functional‐coefficient models under unit root behaviour
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- Testing for threshold regulation in presence of measurement error
- A note on stationarity of the MTAR process on the boundary of the stationarity region
- Recursive mean adjustment and tests for nonstationarities
- Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
- Threshold model with a time-varying threshold based on Fourier approximation
- Unit root tests in three‐regime SETAR models
- A threshold cointegration test with increased power
- Endogeneity in semiparametric threshold regression
- Threshold quantile autoregressive models
- Simulation and application of subsampling for threshold autoregressive moving-average models
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
- Unit root tests for ESTAR models
- Testing for two-regime threshold cointegration in vector error-correction models.
- Robust estimation and inference for threshold models with integrated regressors
- Outliers and persistence in threshold autoregressive processes
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- On the least squares estimation of multiple-regime threshold autoregressive models
- Numerical issues in threshold autoregressive modeling of time series
- Semiparametric estimation for partially linear models with -weak dependent errors
- Unit root tests for panel MTAR model with cross-sectionally dependent error
- Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
- Forecasting time-varying covariance with a robust Bayesian threshold model
- M-estimators with non-standard rates of convergence and weakly dependent data
- Computation of limiting distributions in stationarity testing with a generic trend
- Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data
- An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
- Estimation and model selection based inference in single and multiple threshold models.
- Jointly testing linearity and nonstationarity within threshold autoregressions
- Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study
- An empirical study on the parsimony and descriptive power of TARMA models
- A sign test for unit roots in a momentum threshold autoregressive process
- Bayesian analysis of panel data using an MTAR model
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- Unit root testing on buffered autoregressive model
- Linearity tests and stochastic trend under the STAR framework
- UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- Asymptotic confidence intervals for impulse responses of near‐integrated processes
- Functional-coefficient cointegration models in the presence of deterministic trends
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Frequentist model averaging for threshold models
- On spurious regressions with partial unit root processes
- Testing for a unit root in the nonlinear STAR framework
- Comment on: Threshold Autoregressions With a Unit Root
- On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study
- How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
- Threshold unit root tests with smooth transitions
- Asymptotic results of error density estimator in nonlinear autoregressive models
- A threshold varying-coefficient autoregressive model for analyzing the influence of media reports of suicide on the actual suicides
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- Segment regression model average with multiple threshold variables and multiple structural breaks
- Unit root testing in presence of a double threshold process
- Credit rationing, risk aversion, and industrial evolution in developing countries
- Testing for a unit root in noncausal autoregressive models
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Tests for asymmetry in possibly nonstationary dynamic panel models
- A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
- The behaviour of US stock prices: Evidence from a threshold autoregressive model
- Performance of unit-root tests for non linear unit-root and partial unit-root processes
- Time-varying threshold cointegration with an application to the Fisher hypothesis
- A score-based threshold effect test in time series models
- Robust inference for predictability in smooth transition predictive regressions
- Linearity tests and stationarity
- Bounding tail probabilities in dynamic economic models
- Testing for a unit root against transitional autoregressive models
- ADL tests for threshold cointegration
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