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Adaptive consistent unit root tests based on autoregressive threshold model

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Adaptive consistent unit-root test based on autoregressive threshold model

Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - In: Journal of econometrics 142 (2008) 1, pp. 94-133

Persistent link: https://www.econbiz.de/10003608129

Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model

Bec, Frédérique; Guay, Alain; Guerre, Emmanuel - 2009

This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable....

Persistent link: https://www.econbiz.de/10014209706