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Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap

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

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Identification Number: 10.1017/S0266466608080663

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
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 05 Apr 2011 14:03
Last Modified: 20 Jul 2019 01:17
URI: http://eprints.lse.ac.uk/id/eprint/33866

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