Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
This paper derives the limiting distribution of the Lagrange Multiplier (LM) test for threshold nonlinearity in a TAR model with GARCH errors when one of the regimes contains a unit root. It is shown that the asymptotic distribution is nonstandard and depends on nuisance parameters that capture the degree of conditional heteroskedasticity and non-Gaussian nature of the process. We propose a bootstrap procedure for approximating the exact finite-sample distribution of the test for linearity and establish its asymptotic validity.
Year of publication: |
2008
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Authors: | Gospodinov, Nikolay |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 146.2008, 1, p. 146-161
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Publisher: |
Elsevier |
Keywords: | Threshold autoregressive model Unit root process GARCH Two-parameter Brownian motion Bootstrap |
Saved in:
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