Unit root tests in three‐regime SETAR models
Year: 2006
Type: article
Abstract: 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.
Source: Econometrics Journal
Authors: George Kapetanios, Yongcheol Shin
Institutions: Queen Mary University of London, University of Leeds
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3123841519