Unit Root Tests in Three-Regime SETAR Models
نویسندگان
چکیده
منابع مشابه
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...
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We investigate the performance of a battery of standard unit root tests when the true data generating process has a Markov-switching trend growth rate and variance. Regime switching under both the null hypothesis of a unit root and the alternative hypothesis of trend stationarity is considered. In contrast to the case of a single break in trend growth rate, multiple Markov-switching breaks unde...
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e d In the Box-Jenkins approach to analyzing time series, a key question is whether to difference th ata, i.e., to replace the raw data {y } by the differenced series {y −y }. Experience indicates that m t t t −1 ost economic time series tend to wander and are not stationary, but that differencing often yields a e r stationary result. A key example, which often provides a fairly good descriptio...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.358262