Seo, Myung Hwan (2008) Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap. Econometric Theory, 24 (06). pp. 1699-1716. ISSN 0266-4666
Full text not available from this repository.Abstract
This paper develops a test of the unit root null hypothesis against a stationary threshold process+ This testing problem is nonstandard and complicated because a parameter is unidentified and the process is nonstationary under the null hypothesis+ We derive an asymptotic distribution for the test, which is not pivotal without simplifying assumptions+ A residual-based block bootstrap is proposed to calculate the asymptotic p-values+ The asymptotic validity of the bootstrap is established, and a set of Monte Carlo simulations demonstrates its finite-sample performance+ In particular, the test exhibits considerable power gains over the augmented Dickey–Fuller ~ADF! test, which neglects threshold effects+
| Item Type: | Article |
|---|---|
| Official URL: | http://journals.cambridge.org/action/displayJourna... |
| Additional Information: | © 2008 Cambridge University Press |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 05 Apr 2011 14:03 |
| Last Modified: | 11 Dec 2024 23:23 |
| URI: | http://eprints.lse.ac.uk/id/eprint/33866 |
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