Unit Root Tests in Three-Regime Setar Models
U of London Queen Mary Economics Working Paper No. 465
37 Pages Posted: 30 Jan 2003
There are 2 versions of this paper
Unit Root Tests in Three-Regime Setar Models
Unit Root Tests in Three-Regime Setar Models
Date Written: November 2002
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.
Keywords: Self-exciting Threshold Autoregressive Models, Unit Roots, Globally Stationary Processes, Threshold Cointegration, Wald Tests, Monte Carlo Simulations, Real Exchange Rates
JEL Classification: C12, C13, C32
Suggested Citation: Suggested Citation
Here is the Coronavirus
related research on SSRN
Recommended Papers
-
Unit Root Tests in Three-Regime Setar Models
By George Kapetanios and Yongcheol Shin
-
Testing for Cointegration in Nonlinear Star Error Correction Models
By George Kapetanios, Yongcheol Shin, ...
-
Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-Based Block Bootstrap
-
Vector Equilibrium Correction Models with Non-Linear Discontinuous Adjustments
By Frederique Bec and Anders Rahbek
-
Dread of Depreciation: Measuring Real Exchange Rate Interventions
By Jayasri Dutta and Hyginus Leon
-
By C. Y. Choi and Young-kyu Moh
-
Real Exchange Rates and Switching Regimes
By U. Michael Bergman and Jesper Hansson
-
An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests
By Georgios E. Chortareas, George Kapetanios, ...
