Pitarakis, Jean-Yves (2012): Jointly testing linearity and nonstationarity within threshold autoregressions.
Download (231kB) | Preview
We develop a test of the joint null hypothesis of linearity and nonstationarity within a threshold autoregressive process of order one with deterministic components. We derive the limiting distribution of a Wald type test statistic and subsequently investigate its local power and nite sample properties. We view our test as a useful diagnostic tool since a non rejection of our null hypothesis would remove the need to explore nonlinearities any further and support a linear autoregression with a unit root.
|Item Type:||MPRA Paper|
|Original Title:||Jointly testing linearity and nonstationarity within threshold autoregressions|
|Keywords:||Threshold Autoregressive Models, Unit Roots, Near Unit Roots, Brownian Bridge, Augmented Dickey Fuller Test|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||J Pitarakis|
|Date Deposited:||16. May 2012 15:01|
|Last Modified:||11. May 2015 18:00|
Andrews, D. W. K. (1993). Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, 61, 821-856.
Caner, M., AND B. E. Hansen (2001). Threshold Autoregression with a Unit Root. Econometrica, 69, 1555-1596.
Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.
Hansen, B. E., (2011). Threshold Autoregression in Economics. Statistics and its Interface, 4, 123-127.
Phillips, P. C. B. (1987). Time Series Regression with a Unit Root. Econometrica, 55, 277-302.
Phillips, P. C. B. and P. Perron (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75, 335-346.
Pitarakis, J. (2008). Threshold Autoregressions with a unit root: Comment. Econometrica, Vol. 76, pp. 1207-1217.
Pitarakis, J. (2011). Joint Detection of Structural Change and Nonstationarity in Autoregressions. Discussion Papers in Economics and Econometrics No. 1102, University of Southampton. http://mpra.ub.unimuenchen. de/29189/
Tong, H. (2011). Threshold models in time-series analysis 30 years on. Statistics and Its Interface, 4, 107-136.