IDEAS home Printed from https://ideas.repec.org/a/taf/emetrv/v28y2009i4p335-363.html
   My bibliography  Save this article

Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications

Author

Listed:
  • Daiki Maki

Abstract

Tests for a unit root using three-regime threshold autoregressive (TAR) models play a significant role in the empirical analysis of some economic theories. This article compares the powers of recently proposed unit root tests in three-regime TAR models using Monte Carlo experiments. The following results are obtained from the Monte Carlo simulations: Kapetanios and Shin's (2006) Wsup, Wave, and Wexp statistics, which degenerate with respect to the threshold parameters under the null hypothesis, have a better power in the three-regime TAR process with a relatively narrow band of a unit root process and a small sample, whereas their statistics do not perform well when the threshold and sample size increase; Bec et al.'s (2004, BBC) sup W and Park and Shintani's (2005) inf-t statistics and their restricted models, which do not degenerate with respect to the threshold parameters in the limit, perform poorly in the three-regime TAR process with a small threshold even when compared with the Dickey-Fuller test, whereas their statistics perform better in the case of a large threshold; sup W, inf-t, and their restricted models perform much better when the sample size and threshold increase and the outer regimes have a rapid convergence. In order to substantiate the use of our Monte Carlo results for some of the applied work, we apply these tests to the real exchange rates for many countries.

Suggested Citation

  • Daiki Maki, 2009. "Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 335-363.
    • Handle: RePEc:taf:emetrv:v:28:y:2009:i:4:p:335-363
    DOI: 10.1080/07474930802458893
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/07474930802458893
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07474930802458893?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
    2. Francesco Giordano & Marcella Niglio & Cosimo Damiano Vitale, 2017. "Unit Root Testing in Presence of a Double Threshold Process," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 539-556, June.
    3. Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
    4. Dobronravova, Elizaveta & Perevyshin, Yury & Skrobotov, Anton & Shemyakina, Kira, 2019. "Limits of regional food price differences and invisible hand," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 53, pages 30-54.
    5. Aaron D. Smallwood, 2016. "A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 986-1012, June.
    6. Daiki Maki & Shin-ichi Kitasaka, 2015. "Residual-based tests for cointegration with three-regime TAR adjustment," Empirical Economics, Springer, vol. 48(3), pages 1013-1054, May.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:28:y:2009:i:4:p:335-363. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.tandfonline.com/LECR20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.