Arbeitspapier
Unit root tests in three-regime SETAR models
This paper proposes a simple direct testing procedure to distinguish a linear unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. We derive the asymptotic null distribution of the Wald statistic, and show that it does not depend on unknown fixed threshold values. Monte Carlo evidence clearly indicates that the exponential average of the Wald statistic is more powerful than the Dickey-Fuller test that ignores the threshold nature under the alternative.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 465
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Self-exciting threshold autoregressive models, Unit roots, Globally stationary processes, Threshold cointegration, Wald tests, Monte Carlo simulations, Real exchange rates
Unit Root Test
Monte-Carlo-Methode
Autokorrelation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
Shin, Yongcheol
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Shin, Yongcheol
- Queen Mary University of London, Department of Economics
Entstanden
- 2002
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