UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
نویسندگان
چکیده
منابع مشابه
Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and heterogeneous, and the lagged level of the dependent variable is employed as the threshold variable. The asymp...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2008
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466608080663