Caner, Mehmet; Hansen, Bruce E. - In: Econometrica 69 (2001) 6, pp. 1555-1596
This paper develops an asymptotic theory of inference for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We find that the asymptotic null distribution of Wald tests for a threshold are nonstandard and different from the stationary case, and...