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Adaptive consistent unit-root tests based on autoregressive threshold model

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Author Info
Bec, Frederique
Guay, Alain
Guerre, Emmanuel

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 142 (2008)
Issue (Month): 1 (January)
Pages: 94-133
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Handle: RePEc:eee:econom:v:142:y:2008:i:1:p:94-133

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  1. Zisimos Koustas & Jean-Francois Lamarche & Apostolos Serletis, 2006. "Threshold Random Walks in the U.S. Stock Market," Working Papers 0602, Brock University, Department of Economics, revised May 2006. [Downloadable!]
  2. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  3. Joon Y. Park & Mototsugu Shintani, 2006. "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography 321307000000000316, UCLA Department of Economics. [Downloadable!]
    Other versions:
  4. Myunghwan Seo, 2005. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," STICERD - Econometrics Paper Series /2005/484, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  5. Rodolphe Blavy & Luciana Juvenal, 2009. "Mexico's integration into NAFTA markets: a view from sectoral real exchange rates," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 441-464. [Downloadable!]
    Other versions:
  6. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    Other versions:
  7. George Kapetanios & Yongcheol Shin, 2004. "Unit Root Tests in Three-Regime SETAR Models," ESE Discussion Papers 104, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  8. Zisimos Koustas & Jean-Francois Lamarche, 2005. "Policy-Induced Mean Reversion in the Real Interest Rate?," Working Papers 0503, Brock University, Department of Economics, revised Jul 2005. [Downloadable!]
    Other versions:
  9. Frédérique Bec & Mélika Ben Salem & Anders Rahbek, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, Economics Bulletin, vol. 6(39), pages 1-6. [Downloadable!]
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