Similar Search Results

Three essays on nonlinear nonstationary econometrics and applied macroeconomics

Bae, Youngsoo - 2006

Persistent link: https://www.econbiz.de/10003965066

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 - 2002

Persistent link: https://www.econbiz.de/10001720960

On median unbiased inference for first order autoregressive models

Carstensen, Kai; Paolella, Marc S. - In: Contributions to modern econometrics : from data …, (pp. 23-38). 2002

Persistent link: https://www.econbiz.de/10001905011

Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model

Bec, Frederique; 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